Clustering and information in correlation based financial networks

Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no edges where the vertices correspond to stocks. Then, one by one, we insert edges between the vertices according to the rank of their correlation strength, resulting in a network called asset graph. We study its properties, such as topologically different growth types, number and size of clusters and clustering coefficient. These properties, calculated from empirical data, are compared against those of a random graph. The growth of the graph can be classified according to the topological role of the newly inserted edge. We find that the type of growth which is responsible for creating cycles in the graph sets in much earlier for the empirical asset graph than for the random graph, and thus reflects the high degree of networking present in the market. We also find the number of clusters in the random graph to be one order of magnitude higher than for the asset graph. At a critical threshold, the random graph undergoes a radical change in topology related to percolation transition and forms a single giant cluster, a phenomenon which is not observed for the asset graph. Differences in mean clustering coefficient lead us to conclude that most information is contained roughly within 10% of the edges.Comment: 11 pages including 14 figures. Uses REVTeX4. To be published in a special volume of EPJ on network

Dynamics of polymer ejection from capsid

Polymer ejection from a capsid through a nanoscale pore is an important biological process with relevance to modern biotechnology. Here, we study generic capsid ejection using Langevin dynamics. We show that even when the ejection takes place within the drift-dominated region there is a very high probability for the ejection process not to be completed. Introducing a small aligning force at the pore entrance enhances ejection dramatically. Such a pore asymmetry is a candidate for a mechanism by which a viral ejection is completed. By detailed high-resolution simulations we show that such capsid ejection is an out-of-equilibrium process that shares many common features with the much studied driven polymer translocation through a pore in a wall or a membrane. We find that the escape times scale with polymer length, $\tau \sim N^\alpha$. We show that for the pore without the asymmetry the previous predictions corroborated by Monte Carlo simulations do not hold. For the pore with the asymmetry the scaling exponent varies with the initial monomer density (monomers per capsid volume) $\rho$ inside the capsid. For very low densities $\rho \le 0.002$ the polymer is only weakly confined by the capsid, and we measure $\alpha = 1.33$, which is close to $\alpha = 1.4$ obtained for polymer translocation. At intermediate densities the scaling exponents $\alpha = 1.25$ and $1.21$ for $\rho = 0.01$ and $0.02$, respectively. These scalings are in accord with a crude derivation for the lower limit $\alpha = 1.2$. For the asymmetrical pore precise scaling breaks down, when the density exceeds the value for complete confinement by the capsid, $\rho \gtrapprox 0.25$. The high-resolution data show that the capsid ejection for both pores, analogously to polymer translocation, can be characterized as a multiplicative stochastic process that is dominated by small-scale transitions.Comment: 10 pages, 6 figure

Dynamic asset trees and Black Monday

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 `central node'. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.Comment: 6 pages, 3 eps figues. Elsevier style. Will appear in Physica A as part of the Bali conference proceedings, in pres

Dynamic asset trees and portfolio analysis

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset tree we characterize it by its normalized length and by the mean occupation layer, as measured from an appropriately chosen center. We show how the tree evolves over time, and how it shrinks particularly strongly during a stock market crisis. We then demonstrate that the assets of the optimal Markowitz portfolio lie practically at all times on the outskirts of the tree. We also show that the normalized tree length and the investment diversification potential are very strongly correlated.Comment: 9 pages, 3 figures (encapsulated postscript

The International Trade Network: weighted network analysis and modelling

Tools of the theory of critical phenomena, namely the scaling analysis and universality, are argued to be applicable to large complex web-like network structures. Using a detailed analysis of the real data of the International Trade Network we argue that the scaled link weight distribution has an approximate log-normal distribution which remains robust over a period of 53 years. Another universal feature is observed in the power-law growth of the trade strength with gross domestic product, the exponent being similar for all countries. Using the 'rich-club' coefficient measure of the weighted networks it has been shown that the size of the rich-club controlling half of the world's trade is actually shrinking. While the gravity law is known to describe well the social interactions in the static networks of population migration, international trade, etc, here for the first time we studied a non-conservative dynamical model based on the gravity law which excellently reproduced many empirical features of the ITN.Comment: 5 pages, 5 figure

ColorPhylo: A Color Code to Accurately Display Taxonomic Classifications

Color may be very useful to visualise complex data. As far as taxonomy is concerned, color may help observing various species’ characteristics in correlation with classification. However, choosing the number of subclasses to display is often a complex task: on the one hand, assigning a limited number of colors to taxa of interest hides the structure imbedded in the subtrees of the taxonomy; on the other hand, differentiating a high number of taxa by giving them specific colors, without considering the underlying taxonomy, may lead to unreadable results since relationships between displayed taxa would not be supported by the color code. In the present paper, an automatic color coding scheme is proposed to visualise the levels of taxonomic relationships displayed as overlay on any kind of data plot. To achieve this goal, a dimensionality reduction method allows displaying taxonomic “distances” onto a Euclidean two-dimensional space. The resulting map is projected onto a 2D color space (the Hue, Saturation, Brightness colorimetric space with brightness set to 1). Proximity in the taxonomic classification corresponds to proximity on the map and is therefore materialised by color proximity. As a result, each species is related to a color code showing its position in the taxonomic tree. The so called ColorPhylo displays taxonomic relationships intuitively and can be combined with any biological result. A Matlab version of ColorPhylo is available at http://sy.lespi.free.fr/ColorPhylo-homepage.html. Meanwhile, an ad-hoc distance in case of taxonomy with unknown edge lengths is proposed

Case Report: Acute Onset Fear of Falling and Treatment With "Cognitive Physical Therapy"

Fear of falling (FoF) is prevalent in older adults, especially those with previous falls, and typically starts insidiously. We present a 78-year-old woman with an abrupt onset FoF and no history of falls, balance problems, vertigo, oscillopsia, psychiatric or psychological issues to account for this. These cognitive changes led to a behavioural alteration of her gait that became slow and wide-based, with her gaze fixed on the floor. She began a tailored program of “Cognitive Physical Therapy (CPT)” combining cognitive behavioural therapy (CBT) and physical rehabilitation. 1 month later her 6 m walk time and steps were reduced by a 25 and 35%, respectively, and the stride length increased by 34%, with further improvement 2 months later. We postulate that the abrupt onset of symptoms triggered a central shift toward postural hypervigilance and anxiety, suppression of anticipatory (feed forward) postural adjustments (APA) leading to FoF. CPT improved objective gait parameters related to FoF and reduced postural anxiety suggesting that early diagnosis and prompt treatment may avoid chronic symptoms and social isolation

Effective Field Theory of the Zero-Temperature Triangular-Lattice Antiferromagnet: A Monte Carlo Study

Using a Monte Carlo coarse-graining technique introduced by Binder et al., we have explicitly constructed the continuum field theory for the zero-temperature triangular Ising antiferromagnet. We verify the conjecture that this is a gaussian theory of the height variable in the interface representation of the spin model. We also measure the height-height correlation function and deduce the stiffness constant. In addition, we investigate the nature of defect-defect interactions at finite temperatures, and find that the two-dimensional Coulomb gas scenario applies at low temperatures.Comment: 26 pages, 9 figure

Close relationships: A study of mobile communication records

Mobile phone communication as digital service generates ever-increasing datasets of human communication actions, which in turn allow us to investigate the structure and evolution of social interactions and their networks. These datasets can be used to study the structuring of such egocentric networks with respect to the strength of the relationships by assuming direct dependence of the communication intensity on the strength of the social tie. Recently we have discovered that there are significant differences between the first and further "best friends" from the point of view of age and gender preferences. Here we introduce a control parameter $p_{\rm max}$ based on the statistics of communication with the first and second "best friend" and use it to filter the data. We find that when $p_{\rm max}$ is decreased the identification of the "best friend" becomes less ambiguous and the earlier observed effects get stronger, thus corroborating them.Comment: 11 pages, 7 figure

Multiscale Analysis of Spreading in a Large Communication Network

In temporal networks, both the topology of the underlying network and the timings of interaction events can be crucial in determining how some dynamic process mediated by the network unfolds. We have explored the limiting case of the speed of spreading in the SI model, set up such that an event between an infectious and susceptible individual always transmits the infection. The speed of this process sets an upper bound for the speed of any dynamic process that is mediated through the interaction events of the network. With the help of temporal networks derived from large scale time-stamped data on mobile phone calls, we extend earlier results that point out the slowing-down effects of burstiness and temporal inhomogeneities. In such networks, links are not permanently active, but dynamic processes are mediated by recurrent events taking place on the links at specific points in time. We perform a multi-scale analysis and pinpoint the importance of the timings of event sequences on individual links, their correlations with neighboring sequences, and the temporal pathways taken by the network-scale spreading process. This is achieved by studying empirically and analytically different characteristic relay times of links, relevant to the respective scales, and a set of temporal reference models that allow for removing selected time-domain correlations one by one