相关论文: A tensor-based unified approach for clustering coe…

Relationship between agents can be conveniently represented by graphs. When these relationships have different modalities, they are better modelled by multilayer graphs where each layer is associated with one modality. Such graphs arise…

In this work, we develop a novel framework to measure the similarity between dynamic financial networks, i.e., time-varying financial networks. Particularly, we explore whether the proposed similarity measure can be employed to understand…

Recently, different approaches have been proposed for studying basic properties of time series from a complex network perspective. In this work, the corresponding potentials and limitations of networks based on recurrences in phase space…

The last decades have not only been characterized by an explosive growth of data, but also an increasing appreciation of data as a valuable resource. Their value comes with the ability to extract meaningful patterns that are of economic,…

Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task…

We propose a novel framework in high-dimensional factor models to simultaneously analyse multiple tensor time series, each with potentially different tensor orders and dimensionality. The connection between different tensor time series is…

We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…

Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from existing collected data to help make…

This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…

The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…

The non-trivial structure of such complex systems makes the analysis of their collective behavior a challenge. The problem is even more difficult when the information is distributed across networks (e.g., communication networks in different…

The paper considers the consensus problem in large networks represented by time-varying directed graphs. A practical way of dealing with large-scale networks is to reduce their dimension by collapsing the states of nodes belonging to…

Multiplex networks are generalized network structures that are able to describe networks in which the same set of nodes are connected by links that have different connotations. Multiplex networks are ubiquitous since they describe social,…

Time series forecasting has gained lots of attention recently; this is because many real-world phenomena can be modeled as time series. The massive volume of data and recent advancements in the processing power of the computers enable…

We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…

Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large…

Being able to capture the characteristics of a time series with a feature vector is a very important task with a multitude of applications, such as classification, clustering or forecasting. Usually, the features are obtained from linear…

It has been recognized that many complex dynamical systems in the real world require a description in terms of multiplex networks, where a set of common, mutually connected nodes belong to distinct network layers and play a different role…

Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…

We present a new algorithm for clustering longitudinal data. Data of this type can be conceptualized as consisting of individuals and, for each such individual, observations of a time-dependent variable made at various times. Generically,…