136 research outputs found
Community detection in temporal multilayer networks, with an application to correlation networks
Networks are a convenient way to represent complex systems of interacting
entities. Many networks contain "communities" of nodes that are more densely
connected to each other than to nodes in the rest of the network. In this
paper, we investigate the detection of communities in temporal networks
represented as multilayer networks. As a focal example, we study time-dependent
financial-asset correlation networks. We first argue that the use of the
"modularity" quality function---which is defined by comparing edge weights in
an observed network to expected edge weights in a "null network"---is
application-dependent. We differentiate between "null networks" and "null
models" in our discussion of modularity maximization, and we highlight that the
same null network can correspond to different null models. We then investigate
a multilayer modularity-maximization problem to identify communities in
temporal networks. Our multilayer analysis only depends on the form of the
maximization problem and not on the specific quality function that one chooses.
We introduce a diagnostic to measure \emph{persistence} of community structure
in a multilayer network partition. We prove several results that describe how
the multilayer maximization problem measures a trade-off between static
community structure within layers and larger values of persistence across
layers. We also discuss some computational issues that the popular "Louvain"
heuristic faces with temporal multilayer networks and suggest ways to mitigate
them.Comment: 42 pages, many figures, final accepted version before typesettin
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
We investigate triangular arbitrage within the spot foreign exchange market
using high-frequency executable prices. We show that triangular arbitrage
opportunities do exist, but that most have short durations and small
magnitudes. We find intra-day variations in the number and length of arbitrage
opportunities, with larger numbers of opportunities with shorter mean durations
occurring during more liquid hours. We demonstrate further that the number of
arbitrage opportunities has decreased in recent years, implying a corresponding
increase in pricing efficiency. Using trading simulations, we show that a
trader would need to beat other market participants to an unfeasibly large
proportion of arbitrage prices to profit from triangular arbitrage over a
prolonged period of time. Our results suggest that the foreign exchange market
is internally self-consistent and provide a limited verification of market
efficiency
Temporal Evolution of Financial Market Correlations
We investigate financial market correlations using random matrix theory and
principal component analysis. We use random matrix theory to demonstrate that
correlation matrices of asset price changes contain structure that is
incompatible with uncorrelated random price changes. We then identify the
principal components of these correlation matrices and demonstrate that a small
number of components accounts for a large proportion of the variability of the
markets that we consider. We then characterize the time-evolving relationships
between the different assets by investigating the correlations between the
asset price time series and principal components. Using this approach, we
uncover notable changes that occurred in financial markets and identify the
assets that were significantly affected by these changes. We show in particular
that there was an increase in the strength of the relationships between several
different markets following the 2007--2008 credit and liquidity crisis.Comment: 15 pages, 10 figures, 1 table. Accepted for publication in Phys. Rev.
E. v2 includes additional section
Self-organized global control of carbon emissions
There is much disagreement concerning how best to control global carbon
emissions. We explore quantitatively how different control schemes affect the
collective emission dynamics of a population of emitting entities. We uncover a
complex trade-off which arises between average emissions (affecting the global
climate), peak pollution levels (affecting citizens' everyday health),
industrial efficiency (affecting the nation's economy), frequency of
institutional intervention (affecting governmental costs), common information
(affecting trading behavior) and market volatility (affecting financial
stability). Our findings predict that a self-organized free-market approach at
the level of a sector, state, country or continent, can provide better control
than a top-down regulated scheme in terms of market volatility and monthly
pollution peaks.Comment: 4 pages, 4 figure
Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
We study the cluster dynamics of multichannel (multivariate) time series by
representing their correlations as time-dependent networks and investigating
the evolution of network communities. We employ a node-centric approach that
allows us to track the effects of the community evolution on the functional
roles of individual nodes without having to track entire communities. As an
example, we consider a foreign exchange market network in which each node
represents an exchange rate and each edge represents a time-dependent
correlation between the rates. We study the period 2005-2008, which includes
the recent credit and liquidity crisis. Using dynamical community detection, we
find that exchange rates that are strongly attached to their community are
persistently grouped with the same set of rates, whereas exchange rates that
are important for the transfer of information tend to be positioned on the
edges of communities. Our analysis successfully uncovers major trading changes
that occurred in the market during the credit crisis.Comment: 8 pages, 6 figures, accepted for publication in Chao
Quasi-Quantum Groups, Knots, Three-Manifolds, and Topological Field Theory
We show how to construct, starting from a quasi-Hopf algebra, or
quasi-quantum group, invariants of knots and links. In some cases, these
invariants give rise to invariants of the three-manifolds obtained by surgery
along these links. This happens for a finite-dimensional quasi-quantum group,
whose definition involves a finite group , and a 3-cocycle \om, which was
first studied by Dijkgraaf, Pasquier and Roche. We treat this example in more
detail, and argue that in this case the invariants agree with the partition
function of the topological field theory of Dijkgraaf and Witten depending on
the same data G, \,\om.Comment: 30 page
High-Resolution Analysis of Zn^2+ Coordination in the Alkaline Phosphatase Superfamily by EXAFS and X-ray Crystallography
Comparisons among evolutionarily related enzymes offer opportunities to reveal how structural differences produce different catalytic activities. Two structurally related enzymes, Escherichia coli alkaline phosphatase (AP) and
Xanthomonas axonopodis nucleotide pyrophosphatase/phosphodiesterase (NPP), have nearly identical binuclear Zn^2+ catalytic centers but show tremendous differential specificity for hydrolysis of phosphate monoesters or phosphate diesters. To determine if there are differences in Zn^2+ coordination in the two enzymes that might contribute to catalytic specificity, we analyzed both x-ray absorption spectroscopic and x-ray
crystallographic data. We report a 1.29-Ă
crystal structure of AP with bound phosphate, allowing evaluation of interactions at the AP metal site with high resolution. To make systematic comparisons between AP and NPP, we measured zinc extended x-ray absorption fine structure for AP and
NPP in the free-enzyme forms, with AMP and inorganic phosphate groundstate analogs and with vanadate transition-state analogs. These studies yielded average zincâligand distances in AP and NPP free-enzyme forms
and ground-state analog forms that were identical within error, suggesting little difference in metal ion coordination among these forms. Upon binding of vanadate to both enzymes, small increases in average metalâligand distances were observed, consistent with an increased coordination number. Slightly longer increases were observed in NPP relative to AP, which could arise from subtle rearrangements of the active site or differences in the geometry of the bound vanadyl species. Overall, the
results suggest that the binuclear Zn^2+ catalytic site remains very similar between AP and NPP during the course of a reaction cycle
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Large-scale ozone and aerosol distributions, air mass characteristics, and ozone fluxes over the western Pacific Ocean in late winter/early spring
Largeâscale measurements of ozone (O3) and aerosol distributions were made from the NASA DCâ8 aircraft during the Transport and Chemical Evolution over the Pacific (TRACEâP) field experiment conducted in FebruaryâApril 2001. Remote measurements were made with an airborne lidar to provide O3 and multipleâwavelength aerosol backscatter profiles from near the surface to above the tropopause along the flight track. In situ measurements of O3, aerosols, and a wide range of trace gases were made onboard the DCâ8. Fiveâday backward trajectories were used in conjunction with the O3 and aerosol distributions on each flight to indicate the possible origin of observed air masses, such as from biomass burning regions, continental pollution, desert regions, and oceanic regions. Average latitudinal O3 and aerosol scattering ratio distributions were derived from all flights west of 150°E, and these distributions showed the average latitude and altitude dependence of different dynamical and chemical processes in determining the atmospheric composition over the western Pacific. TRACEâP (TP) showed an increase in the average latitudinal distributions of both O3 and aerosols compared to PEMâWest B (PWB), which was conducted in FebruaryâMarch 1994. O3, aerosol, and potential vorticity levels were used to identify nine air mass types and quantify their frequency of occurrence as a function of altitude. This paper discusses the characteristics of the different air mass types encountered during TP and compares them to PWB. These results confirmed that most of the O3 increase in TP was due to photochemistry. The average latitudinal eastward O3 flux in the western Pacific during TP was found to peak near 32°N with a total average O3 flux between 14 and 46°N of 5.2 Tg/day. The eastward total CO flux was calculated to be 2.2 TgâC/day with âŒ6% estimated from Asia. The Asian flux of CO2 and CH4 was estimated at 4.9 and 0.06 TgâC/day
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