Analyzing and modeling real-world phenomena with complex networks: a survey of applications
The success of new scientific areas can be assessed by their potential in contributing to new
theoretical approaches and in applications to real-world problems. Complex networks have …
theoretical approaches and in applications to real-world problems. Complex networks have …
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 of financial markets in times of crisis
LS Junior, IDP Franca - Physica A: Statistical Mechanics and its …, 2012 - Elsevier
Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …
financial market indices in the world, we show that high volatility of markets is directly linked …
Correlation and network analysis of global financial indices
Random matrix theory (RMT) and network methods are applied to investigate the correlation
and network properties of 20 financial indices. The results are compared before and during …
and network properties of 20 financial indices. The results are compared before and during …
Network analysis of a financial market based on genuine correlation and threshold method
A financial market is an example of an adaptive complex network consisting of many
interacting units. This network reflects market's behavior. In this paper, we use Random …
interacting units. This network reflects market's behavior. In this paper, we use Random …
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 …
Time-lag cross-correlations in collective phenomena
We study long-range magnitude cross-correlations in collective modes of real-world data
from finance, physiology, and genomics using time-lag random matrix theory. We find long …
from finance, physiology, and genomics using time-lag random matrix theory. We find long …
Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
GJ Wang, C **e, S Chen, JJ Yang, MY Yang - Physica A: statistical …, 2013 - Elsevier
In this study, we first build two empirical cross-correlation matrices in the US stock market by
two different methods, namely the Pearson's correlation coefficient and the detrended cross …
two different methods, namely the Pearson's correlation coefficient and the detrended cross …
Portfolio optimization based on network topology
Y Li, XF Jiang, Y Tian, SP Li, B Zheng - Physica A: Statistical Mechanics …, 2019 - Elsevier
The structure and dynamics of complex network systems are of current research interest. We
illustrate the dependency between the network topology and its function, considering the …
illustrate the dependency between the network topology and its function, considering the …
Temporal evolution of financial-market correlations
DJ Fenn, MA Porter, S Williams, M McDonald… - Physical Review E …, 2011 - APS
We investigate financial market correlations using random matrix theory and principal
component analysis. We use random matrix theory to demonstrate that correlation matrices …
component analysis. We use random matrix theory to demonstrate that correlation matrices …