Related papers: Correlation Networks Among Currencies
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
Recent evidence indicates that the abundance of recurring elementary interaction patterns in complex networks, often called subgraphs or motifs, carry significant information about their function and overall organization. Yet, the…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…
Financial organisations such as brokers face a significant challenge in servicing the investment needs of thousands of their traders worldwide. This task is further compounded since individual traders will have their own risk appetite and…
The structure of real-world social networks in large part determines the evolution of social phenomena, including opinion formation, diffusion of information and influence, and the spread of disease. Globally, network structure is…
Hierarchical clustering is a powerful tool for exploratory data analysis, organizing data into a tree of clusterings from which a partition can be chosen. This paper generalizes these ideas by proving that, for any reasonable hierarchy, one…
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series…
A fundamental property of complex networks is the tendency for edges to cluster. The extent of the clustering is typically quantified by the clustering coefficient, which is the probability that a length-2 path is closed, i.e., induces a…
We propose a generalization of small world networks, in which the reconnection of links is governed by a function that depends on the distance between the elements to be linked. An adequate choice of this function lets us control the…
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if…
Clustering is an important data mining technique that groups similar data records, recently categorical transaction clustering is received more attention. In this research, we study the problem of categorical data clustering for…
This work analyses the practice of sister city pairing. We investigate structural properties of the resulting city and country networks and present rankings of the most central nodes in these networks. We identify different country clusters…
This paper considers networks where relationships between nodes are represented by directed dissimilarities. The goal is to study methods that, based on the dissimilarity structure, output hierarchical clusters, i.e., a family of nested…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
The presented model provides an explanation to several empirically observed phenomena in spatial economics. By representing the system as a complex network of fixed-size land areas connected by trade between harbored activities, city size…
A clustering algorithm partitions a set of data points into smaller sets (clusters) such that each subset is more tightly packed than the whole. Many approaches to clustering translate the vector data into a graph with edges reflecting a…
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…
The European Union and Eurozone present an inquisitive case of strongly interconnected network with high degree of dependence among nodes. This research focused on investment network of European Union and its major trading partners for…
We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for…
The community structure of complex networks reveals both their organization and hidden relationships among their constituents. Most community detection methods currently available are not deterministic, and their results typically depend on…