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Aste, T.; Di Matteo, T. - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 156-161

The extraction of relevant and meaningful information from large streams of data has become one of the major challenges for scientists working in the field of complex systems. In particular, one of the main goals is to get information about the underlying system of interactions that leads to...

Persistent link: https://www.econbiz.de/10010589185

Piecewise aggregate representations and lower-bound distance functions for multivariate time series

Li, Hailin - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 10-25

Dimensionality reduction is one of the most important methods to improve the efficiency of the techniques that are applied to the field of multivariate time series data mining. Due to multivariate time series with the variable-based and time-based dimensions, the reduction techniques must take...

Persistent link: https://www.econbiz.de/10011209687

Goodness-of-fit test for copulas

Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182

Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test...

Persistent link: https://www.econbiz.de/10010589678

Detecting positive feedback in multivariate time series: The case of metal prices and US inflation

Kyrtsou, Catherine; Labys, Walter C. - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 227-229

The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey–Glass process recently developed by Kyrtsou and Labys [Evidence for chaotic dependence between US inflation and commodity...

Persistent link: https://www.econbiz.de/10010874738

The effects of node exclusion on the centrality measures in graph models of interacting economic agents

Caetano, Marco Antonio Leonel; Yoneyama, Takashi - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 216-223

This work concerns the study of the effects felt by a network as a whole when a specific node is perturbed. Many real world systems can be described by network models in which the interactions of the various agents can be represented as an edge of a graph. With a graph model in hand, it is...

Persistent link: https://www.econbiz.de/10011264554

Insolvency and contagion in the Brazilian interbank market

Souza, Sergio R.S.; Tabak, Benjamin M.; Silva, Thiago C.; … - In: Physica A: Statistical Mechanics and its Applications 431 (2015) C, pp. 140-151

This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the …, which implies that size is not the sole determinant of importance within networks. Most vulnerable financial institutions …

Persistent link: https://www.econbiz.de/10011264556

Growing network: Models following nonlinear preferential attachment rule

Zadorozhnyi, V.N.; Yudin, E.B. - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 111-132

We investigate the preferential attachment graphs proceeding from the following two assumptions. The first one: the probability that a new vertex connects to a vertex i is proportional to an arbitrary nonnegative function f of a vertex degree k. The second assumption: a new vertex can have a...

Persistent link: https://www.econbiz.de/10011209723

Vulnerability of state-interdependent networks under malware spreading

Vida, Rafael; Galeano, Javier; Cuenda, Sara - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 134-140

. The use of the social network as an extra vector of attack to penetrate the security measures in IP networks is improving … this work we use interdependent networks to model the propagation of these kind of viruses. In particular, we study the … propagation of a SIS model on interdependent networks where the state of each node is layer-independent and the dynamics in each …

Persistent link: https://www.econbiz.de/10011194029

Estimating the clustering coefficient in scale-free networks on lattices with local spatial correlation structure

Tsonis, Anastasios A.; Swanson, Kyle L.; Wang, Geli - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5287-5294

When we study the architecture of networks of spatially extended systems the nodes in the network are subject to local … correlation structures. In this case, we show that for scale-free networks the traditional way to estimate the clustering …

Persistent link: https://www.econbiz.de/10010588653

Scaling and precursor motifs in earthquake networks

Baiesi, Marco - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 534-542

earthquakes of the last 16 years in Southern California. Hence, networks could be useful to detect symptoms typically preceding …

Persistent link: https://www.econbiz.de/10010588766