Temporal Graph Traversals: Definitions, Algorithms, and Applications

A temporal graph is a graph in which connections between vertices are active at specific times, and such temporal information leads to completely new patterns and knowledge that are not present in a non-temporal graph. In this paper, we study traversal problems in a temporal graph. Graph traversals, such as DFS and BFS, are basic operations for processing and studying a graph. While both DFS and BFS are well-known simple concepts, it is non-trivial to adopt the same notions from a non-temporal graph to a temporal graph. We analyze the difficulties of defining temporal graph traversals and propose new definitions of DFS and BFS for a temporal graph. We investigate the properties of temporal DFS and BFS, and propose efficient algorithms with optimal complexity. In particular, we also study important applications of temporal DFS and BFS. We verify the efficiency and importance of our graph traversal algorithms in real world temporal graphs

Estimating Behavioural Heterogeneity Under Regime Switching

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and chartists with Markov chain regime-dependent expectations and applying S&P500 data from January 2000 to June 2010, we show that the estimation of the model matches well with the boom and bust periods in the US stock market. In addition, we find evidence of time-varying behavioural heterogeneity within-group and that the model exhibits good forecasting accuracy.estimation; heterogeneity; regime switching; boom and bust

Estimating heterogeneous agents behavior in a two-market financial system

In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (2012). Using monthly data of French and US stock markets, the regression shows that individual markets have feature of two-regime switching process. By including inter-market traders whose trading decision is based on fundamental value of foreign market, the two-market model has a better capability in explaining both markets with domestic fundamental traders turning to be significant. The existence of inter-market traders implies that the two markets impact each other through their fundamental and hence share some common set of factors, which provides foundation of market interactions, such as market co-movement