相关论文: Lead-lag detection and network clustering for mult…

Finding densely connected subsets of vertices in an unsupervised setting, called clustering or community detection, is one of the fundamental problems in network science. The edge clustering approach instead detects communities by…

Time series graphical models have recently received considerable attention for characterizing (conditional) dependence structures in multivariate time series. In many applications, the multivariate series exhibit variable-partitioned…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

Link prediction is central to unraveling social network evolution and node relationships, as well as understanding the characteristic mechanisms of complex networks. Currently, research on link prediction for complex dynamic networks…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…

Dynamic link prediction is an important problem considered in many recent works that propose approaches for learning temporal edge patterns. To assess their efficacy, models are evaluated on continuous-time and discrete-time temporal graph…

High demands for industrial networks lead to increasingly large sensor networks. However, the complexity of networks and demands for accurate data require better stability and communication quality. Conventional clustering methods for…

In this paper, we study time-varying graphical models based on data measured over a temporal grid. Such models are motivated by the needs to describe and understand evolving interacting relationships among a set of random variables in many…

Time series often contain outliers and level shifts or structural changes. These unexpected events are of the utmost importance in fraud detection, as they may pinpoint suspicious transactions. The presence of such unusual events can easily…

This paper proposes a task-agnostic discovery layer for multivariate time series that constructs a relational hypothesis graph over entities without assuming linearity, stationarity, or a downstream objective. The method learns window-level…

Dynamic transportation networks have been analyzed for years by means of static graph-based indicators in order to study the temporal evolution of relevant network components, and to reveal complex dependencies that would not be easily…

Clustering of time series based on their underlying dynamics is keeping attracting researchers due to its impacts on assisting complex system modelling. Most current time series clustering methods handle only scalar time series, treat them…

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…

Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…

Anomalies in univariate time series often refer to abnormal values and deviations from the temporal patterns from majority of historical observations. In multivariate time series, anomalies also refer to abnormal changes in the inter-series…

We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday market microstructure features. We first determine the ex-ante…

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of…

Correlation matrices contain a wide variety of spatio-temporal information about a dynamical system. Predicting correlation matrices from partial time series information of a few nodes characterizes the spatio-temporal dynamics of the…

In many applications of finance, biology and sociology, complex systems involve entities interacting with each other. These processes have the peculiarity of evolving over time and of comprising latent factors, which influence the system…

Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…