Related papers: An interest rates cluster analysis
In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Clustering is the technique to partition data according to their characteristics. Data that are similar in nature belong to the same cluster [1]. There are two types of evaluation methods to evaluate clustering quality. One is an external…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
Human behavior modeling deals with learning and understanding behavior patterns inherent in humans' daily routines. Existing pattern mining techniques either assume human dynamics is strictly periodic, or require the number of modes as…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
A clustering procedure, based on the Hausdorff distance, is introduced and tested on the financial time series of the Dow Jones Industrial Average (DJIA) index.
The widespread adoption of online courses opens opportunities for the analysis of learner behaviour and for the optimisation of web-based material adapted to observed usage. Here we introduce a mathematical framework for the analysis of…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
The intra-cluster correlation coefficient (ICC) plays an important role while designing the cluster randomized trials (CRTs). Often optimal CRTs are designed assuming that the magnitude of the ICC is constant across the clusters. However,…
The study of pulsar glitch phenomena serves as a valuable probe into the dynamic properties of matter under extreme high-density conditions, offering insights into the physics within neutron stars. Providing theoretical explanations for the…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
We study statistical properties of the number of large earthquakes over the past century. We analyze the cumulative distribution of the number of earthquakes with magnitude larger than threshold M in time interval T, and quantify the…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
The classifications of inflationary regimes proposed in the literature have mostly been based on arbitrary characterizations, subject to value judgments by researchers. The objective of this study is to propose a new methodological approach…
Star clusters are studied widely both as benchmarks for stellar evolution models and in their own right. Cluster age and mass distributions within galaxies are probes of star formation histories, and of cluster formation and disruption…