Related papers: Correlation Networks Among Currencies
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the…
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
The relationship between two important problems in tree pattern matching, the largest common subtree and the smallest common supertree problems, is established by means of simple constructions, which allow one to obtain a largest common…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
As a kind of basic machine learning method, clustering algorithms group data points into different categories based on their similarity or distribution. We present a clustering algorithm by finding hyper-planes to distinguish the data…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The…
Different distance matrices are defined and applied to look for correlations between the gross domestic product of G7 countries. Results are illustrated through displays obtained from various graph methods. Significant similarities between…
The proposal is to use clusters, graphs and networks as models in order to analyse the Web structure. Clusters, graphs and networks provide knowledge representation and organization. Clusters were generated by co-site analysis. The sample…
In economic literature, economic complexity is typically approximated on the basis of an economy's gross export structure. However, in times of ever increasingly integrated global value chains, gross exports may convey an inaccurate image…
We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks vary around a typical structure characterized by a Weibull link weight distribution,…
Inspired by empirical studies of networked systems such as the Internet, social networks, and biological networks, researchers have in recent years developed a variety of techniques and models to help us understand or predict the behavior…
An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a…
The topological organization of several world cities are studied according to respective representations by complex networks. As a first step, the city maps are processed by a recently developed methodology that allows the most significant…
The distribution of living languages is investigated and scaling relations are found for the diversity of languages as a function of the country area and population. These results are compared with data from Ecology and from computer…
This paper explores the relationships between migration and trade using a complex-network approach. We show that: (i) both weighted and binary versions of the networks of international migration and trade are strongly correlated; (ii) such…
We introduce a class of random graphs with a community structure, which we call the hierarchical configuration model. On the inter-community level, the graph is a configuration model, and on the intra-community level, every vertex in the…
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven approach to clustering based on a correlation blockmodel in…