Physical approach to complex systems
Typically, complex systems are natural or social systems which consist of a large number of
nonlinearly interacting elements. These systems are open, they interchange information or …
nonlinearly interacting elements. These systems are open, they interchange information or …
A review of two decades of correlations, hierarchies, networks and clustering in financial markets
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 the review is to gather in one …
correlations alongside other interaction networks. The aim of the review is to gather in one …
Correlation, hierarchies, and networks in financial markets
We discuss some methods to quantitatively investigate the properties of correlation matrices.
Correlation matrices play an important role in portfolio optimization and in several other …
Correlation matrices play an important role in portfolio optimization and in several other …
Climate networks around the globe are significantly affected by El Nino
The temperatures in different zones in the world do not show significant changes due to El
Niño except when measured in a restricted area in the Pacific Ocean. We find, in contrast …
Niño except when measured in a restricted area in the Pacific Ocean. We find, in contrast …
Community detection for correlation matrices
M MacMahon, D Garlaschelli - arxiv preprint arxiv:1311.1924, 2013 - arxiv.org
A challenging problem in the study of complex systems is that of resolving, without prior
information, the emergent, mesoscopic organization determined by groups of units whose …
information, the emergent, mesoscopic organization determined by groups of units whose …
Percolation in interdependent and interconnected networks: Abrupt change from second-to first-order transitions
Robustness of two coupled networks systems has been studied separately only for
dependency coupling [Buldyrev, Nature (London) 464, 1025 (2010) NATUAS 0028-0836 …
dependency coupling [Buldyrev, Nature (London) 464, 1025 (2010) NATUAS 0028-0836 …
Spanning trees and bootstrap reliability estimation in correlation-based networks
We introduce a new technique to associate a spanning tree to the average linkage cluster
analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also …
analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also …
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
The use of improved covariance matrix estimators as an alternative to the sample estimator
is considered an important approach for enhancing portfolio optimization. Here we …
is considered an important approach for enhancing portfolio optimization. Here we …
Stability of climate networks with time
The pattern of local daily fluctuations of climate fields such as temperatures and geopotential
heights is not stable and hard to predict. Surprisingly, we find that the observed relations …
heights is not stable and hard to predict. Surprisingly, we find that the observed relations …
Kullback-Leibler distance as a measure of the information filtered from multivariate data
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of
correlation matrices estimated by using a finite set of data. For correlation matrices of …
correlation matrices estimated by using a finite set of data. For correlation matrices of …