An Outlook on Correlations in Stock Prices

We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial market) enrichens the list of existing dynamical systems that physicists have been studying for long.Comment: 6 pages, RevTeX format. To appear in the Conference Proceedings of ECONOPHYS-KOLKATA II: International Workshop on Econophysics of Stock Markets and Minority Games", February 14-17, 2006, SINP, Kolkata, as a book chapter in Eds. A. Chatterjee and B.K. Chakrabarti, Econophysics of Stock and other Markets, (Springer-Verlag (Italia), Milan, 2006

Communities in Networks

We survey some of the concepts, methods, and applications of community detection, which has become an increasingly important area of network science. To help ease newcomers into the field, we provide a guide to available methodology and open problems, and discuss why scientists from diverse backgrounds are interested in these problems. As a running theme, we emphasize the connections of community detection to problems in statistical physics and computational optimization.Comment: survey/review article on community structure in networks; published version is available at http://people.maths.ox.ac.uk/~porterm/papers/comnotices.pd

Topics in social network analysis and network science

This chapter introduces statistical methods used in the analysis of social networks and in the rapidly evolving parallel-field of network science. Although several instances of social network analysis in health services research have appeared recently, the majority involve only the most basic methods and thus scratch the surface of what might be accomplished. Cutting-edge methods using relevant examples and illustrations in health services research are provided

A Simple Generative Model of Collective Online Behaviour

Human activities increasingly take place in online environments, providing novel opportunities for relating individual behaviours to population-level outcomes. In this paper, we introduce a simple generative model for the collective behaviour of millions of social networking site users who are deciding between different software applications. Our model incorporates two distinct components: one is associated with recent decisions of users, and the other reflects the cumulative popularity of each application. Importantly, although various combinations of the two mechanisms yield long-time behaviour that is consistent with data, the only models that reproduce the observed temporal dynamics are those that strongly emphasize the recent popularity of applications over their cumulative popularity. This demonstrates---even when using purely observational data without experimental design---that temporal data-driven modelling can effectively distinguish between competing microscopic mechanisms, allowing us to uncover new aspects of collective online behaviour.Comment: Updated, with new figures and Supplementary Informatio

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

Effects of time window size and placement on the structure of aggregated networks

Complex networks are often constructed by aggregating empirical data over time, such that a link represents the existence of interactions between the endpoint nodes and the link weight represents the intensity of such interactions within the aggregation time window. The resulting networks are then often considered static. More often than not, the aggregation time window is dictated by the availability of data, and the effects of its length on the resulting networks are rarely considered. Here, we address this question by studying the structural features of networks emerging from aggregating empirical data over different time intervals, focussing on networks derived from time-stamped, anonymized mobile telephone call records. Our results show that short aggregation intervals yield networks where strong links associated with dense clusters dominate; the seeds of such clusters or communities become already visible for intervals of around one week. The degree and weight distributions are seen to become stationary around a few days and a few weeks, respectively. An aggregation interval of around 30 days results in the stablest similar networks when consecutive windows are compared. For longer intervals, the effects of weak or random links become increasingly stronger, and the average degree of the network keeps growing even for intervals up to 180 days. The placement of the time window is also seen to affect the outcome: for short windows, different behavioural patterns play a role during weekends and weekdays, and for longer windows it is seen that networks aggregated during holiday periods are significantly different.Comment: 19 pages, 11 figure

Competition for Popularity in Bipartite Networks

We present a dynamical model for rewiring and attachment in bipartite networks in which edges are added between nodes that belong to catalogs that can either be fixed in size or growing in size. The model is motivated by an empirical study of data from the video rental service Netflix, which invites its users to give ratings to the videos available in its catalog. We find that the distribution of the number of ratings given by users and that of the number of ratings received by videos both follow a power law with an exponential cutoff. We also examine the activity patterns of Netflix users and find bursts of intense video-rating activity followed by long periods of inactivity. We derive ordinary differential equations to model the acquisition of edges by the nodes over time and obtain the corresponding time-dependent degree distributions. We then compare our results with the Netflix data and find good agreement. We conclude with a discussion of how catalog models can be used to study systems in which agents are forced to choose, rate, or prioritize their interactions from a very large set of options.Comment: 13 Pages, 19 Figure

Networks of companies and branches in Poland

In this study we consider relations between companies in Poland taking into account common branches they belong to. It is clear that companies belonging to the same branch compete for similar customers, so the market induces correlations between them. On the other hand two branches can be related by companies acting in both of them. To remove weak, accidental links we shall use a concept of threshold filtering for weighted networks where a link weight corresponds to a number of existing connections (common companies or branches) between a pair of nodes.Comment: 13 pages, 10 figures and 4 table