Lagged correlation networks

Technological advances have provided scientists with large high-dimensional datasets that describe the behaviors of complex systems: from the statistics of energy levels in complex quantum systems, to the time-dependent transcription of genes, to price fluctuations among assets in a financial market. In this environment, where it may be difficult to infer the joint distribution of the data, network science has flourished as a way to gain insight into the structure and organization of such systems by focusing on pairwise interactions. This work focuses on a particular setting, in which a system is described by multivariate time series data. We consider time-lagged correlations among elements in this system, in such a way that the measured interactions among elements are asymmetric. Finally, we allow these interactions to be characteristically weak, so that statistical uncertainties may be important to consider when inferring the structure of the system. We introduce a methodology for constructing statistically validated networks to describe such a system, extend the methodology to accommodate interactions with a periodic component, and show how consideration of bipartite community structures in these networks can aid in the construction of robust statistical models. An example of such a system is a financial market, in which high frequency returns data may be used to describe contagion, or the spreading of shocks in price among assets. These data provide the experimental testing ground for our methodology. We study NYSE data from both the present day and one decade ago, examine the time scales over which the validated lagged correlation networks exist, and relate differences in the topological properties of the networks to an increasing economic efficiency. We uncover daily periodicities in the validated interactions, and relate our findings to explanations of the Epps Effect, an empirical phenomenon of financial time series. We also study bipartite community structures in networks composed of market returns and news sentiment signals for 40 countries. We compare the degrees to which markets anticipate news, and news anticipate markets, and use the community structures to construct a recommender system for inputs to prediction models. Finally, we complement this work with novel investigations of the exogenous news items that may drive the financial system using topic models. This includes an analysis of how investors and the general public may interact with these news items using Internet search data, and how the diversity of stories in the news both responds to and influences market movements

A Study of Search Attention and Stock Returns Cross Predictability

This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply-chain relationship and if information related to both firms diffuses in the market slowly (rapidly), then our ability to predict stock returns increases (vanishes). Using supply-chain data provided by Bloomberg and weekly co-search network of supply-chain partners from Yahoo! Finance, we find that when investors of a focal stock pay less attention to its supply-chain partners, we can use lagged partner returns to predict the future return of the focal stock. When investors’ co-attention to focal and partner stocks is high, the predictability is low. We contribute to the growing literature on aggregate search and economics of networks by demonstrating the inferential power and economic implications of search networks

Unified functional network and nonlinear time series analysis for complex systems science: The pyunicorn package

We introduce the \texttt{pyunicorn} (Pythonic unified complex network and recurrence analysis toolbox) open source software package for applying and combining modern methods of data analysis and modeling from complex network theory and nonlinear time series analysis. \texttt{pyunicorn} is a fully object-oriented and easily parallelizable package written in the language Python. It allows for the construction of functional networks such as climate networks in climatology or functional brain networks in neuroscience representing the structure of statistical interrelationships in large data sets of time series and, subsequently, investigating this structure using advanced methods of complex network theory such as measures and models for spatial networks, networks of interacting networks, node-weighted statistics or network surrogates. Additionally, \texttt{pyunicorn} provides insights into the nonlinear dynamics of complex systems as recorded in uni- and multivariate time series from a non-traditional perspective by means of recurrence quantification analysis (RQA), recurrence networks, visibility graphs and construction of surrogate time series. The range of possible applications of the library is outlined, drawing on several examples mainly from the field of climatology.Comment: 28 pages, 17 figure

"Geco" and its potential for real estate research: Evidence from the US housing market

Over the past few years, Google econometrics (Geco) turns out to be a powerful tool for research based on individuals rational. Following the seminal work of Ginsberg et al. (2009), this is the second academic journal contribution to be based on search query data from Google Insights for Search (I4S). Existing information on the Home Buying Process is embedded into existing literature on the price-volume relationship in the housing market. The main findings are: I4S subcategories yield inferences about prices and transactions in the near future. While the “Real Estate Agency” subcategory serves as a very robust indicator of transaction volume, "Home Financing" provides interesting insights into the corresponding financing decisions. Therefore, this study contributes towards improving the infor-mational efficiency of a relatively imperfect market and is addressed to policy makers as well as real estate professionals.

Unsupervised discovery of temporal sequences in high-dimensional datasets, with applications to neuroscience.

Identifying low-dimensional features that describe large-scale neural recordings is a major challenge in neuroscience. Repeated temporal patterns (sequences) are thought to be a salient feature of neural dynamics, but are not succinctly captured by traditional dimensionality reduction techniques. Here, we describe a software toolbox-called seqNMF-with new methods for extracting informative, non-redundant, sequences from high-dimensional neural data, testing the significance of these extracted patterns, and assessing the prevalence of sequential structure in data. We test these methods on simulated data under multiple noise conditions, and on several real neural and behavioral datas. In hippocampal data, seqNMF identifies neural sequences that match those calculated manually by reference to behavioral events. In songbird data, seqNMF discovers neural sequences in untutored birds that lack stereotyped songs. Thus, by identifying temporal structure directly from neural data, seqNMF enables dissection of complex neural circuits without relying on temporal references from stimuli or behavioral outputs

A temporal precedence based clustering method for gene expression microarray data

Background: Time-course microarray experiments can produce useful data which can help in understanding the underlying dynamics of the system. Clustering is an important stage in microarray data analysis where the data is grouped together according to certain characteristics. The majority of clustering techniques are based on distance or visual similarity measures which may not be suitable for clustering of temporal microarray data where the sequential nature of time is important. We present a Granger causality based technique to cluster temporal microarray gene expression data, which measures the interdependence between two time-series by statistically testing if one time-series can be used for forecasting the other time-series or not. Results: A gene-association matrix is constructed by testing temporal relationships between pairs of genes using the Granger causality test. The association matrix is further analyzed using a graph-theoretic technique to detect highly connected components representing interesting biological modules. We test our approach on synthesized datasets and real biological datasets obtained for Arabidopsis thaliana. We show the effectiveness of our approach by analyzing the results using the existing biological literature. We also report interesting structural properties of the association network commonly desired in any biological system. Conclusions: Our experiments on synthesized and real microarray datasets show that our approach produces encouraging results. The method is simple in implementation and is statistically traceable at each step. The method can produce sets of functionally related genes which can be further used for reverse-engineering of gene circuits