We evaluate the degree of business cycle interdependence in the global economic network, focusing on the hypothesis that emergent market (EM) economies have decoupled from advanced economies in the recent period of globalization. We employ a novel methodological approach to the study of business...

We examined the time series properties of the foreign exchange market for 1990–2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean...

This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...

An important problem in high-dimensional data analysis is determining whether sample points are uniformly distributed (i.e., exhibit complete spatial randomness) over some compact support, or rather possess some underlying structure (e.g., clusters or other nonhomogeneities). We propose two new...

A simple deterministic algorithm for community detection is provided by using two rounds of minimum spanning trees. By comparing the first round minimum spanning tree (1st-MST) with the second round spanning tree (2nd-MST) of the network, communities are detected and their overlapping nodes are...

One of the most essential topics in robust statistics is the robust estimation of location and covariance. Many popular robust (location and scatter) estimators such as Fast-MCD, MVE, and MZE require at least a convex distribution of the underlying data. In the case of non-convex data...

A method for extracting information carrying eigenvalues of the correlation matrix is presented based on the topological transformation of the manifold defined by the data matrix itself. The transformation, performed with the use of the minimum spanning tree and the barycentric transformation,...

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the...

In the wake of the financial crisis, sovereign debt crisis has emerged and is severely affecting some countries in the European Union, threatening the viability of the euro and even the EU itself. This paper applies recent developments in econophysics, in particular the minimum spanning tree...

We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a grouping coefficient to test the validity of the conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the...