Network analysis of exchange data: Interdependence drives crisis contagion

In this paper we detect the linear and nonlinear co-movements presented on the real exchange rate in a group of 28 developed and developing countries that have suffered currency and financial crises during 15 years. We have used the matrix of Pearson correlation and Phase Synchronous (PS) coefficients and an appropriate metric distance between pairs of countries in order to construct a topology and hierarchies by using the Minimum Spanning Tree (MST). In addition, we have calculated the MST cost and global correlation coefficients to observe the co-movements dynamics along the time sample. By comparing Pearson and phase synchronous information we address a new methodology that can uncover meaningful information on the contagion economic issue and, more generally, in the debate around interdependence and/or contagion among financial time series. Our results suggest some evidence of contagion in the Asian currency crises but this crisis contagion is due to previous and stable interdependence.econophysics, linear co-movements, phase synchronous co-movements, MST, interdependence and contagion

Economic growth and currency crisis: A real exchange rate entropic approach

We propose a country classification of economic growth currency crisis consequences based on the entropic analysis of the real exchange rate. We show that this ranking is highly correlated with the annual minimum rate of growth, a proxy used to quantify real currency crisis effects.currency crises; entropy; growth effects of currency crises

Reactivity indexes for different geometries of palladium leads

Electronic transport through metallic break junctions or molecules is clearly dependent not only on the electronic structure of the central nanodevice connecting the leads, but also the shape and crystalline orientation of the contacts which can define the possible conduction channels. In this work we examine different geometries of contacts of palladium characterizing them through global and local reactivity indexes as electrophilicity, chemical hardness and Fukui functions. In molecules, these indicators are essentially defined by the energies of the frontier molecular orbitals and in solids they are related with the local and partial density of states. We use for this purpose an ab-initio based code (FIREBALL), applied to plane contacts with (001) fcc faces and also pyramidal tips grown following a (001) and (111) packaging. The results allow us to have an insight about the chemical features of this type of nanojunctions.Fil: Gómez Carrillo, Sandra Carolina. Universidad Nacional del Litoral. Facultad de Ingeniería Química. Departamento de Física; ArgentinaFil: Ortega, J.. Universidad Autónoma de Madrid; EspañaFil: Bolcatto, Pablo Guillermo. Universidad Nacional del Litoral; Argentin

Synchronization and Diversity in Business Cycles: A Network Approach Applied to the European Union

This paper analyses synchronization in business cycles across the European Union (EU) since 1989. We include both old and new European Union members and countries which are currently negotiating accession, as well as potential European Union members. Our methodological approach is based on the correlation matrix and the networks within, which allows us to summarize the individual interaction and co-movement, while also capturing the existing heterogeneity of connectivity within the European economic system. The results indicate that the synchronization of the old EU countries remained stable until the current financial crisis. Additionally, the synchronization of the new and potential members has approached to the old EU members although we observe the existence of different synchronization levels and dynamics in output growth in single countries as well as in groups of countries. Some countries have achieved an important degree of co-movement (such as the Baltic Republics, Hungary, Slovenia and Iceland), while others have experienced reduced synchronization, or even desynchronization (such as Romania, Bulgaria and even Greece and Ireland).Business cycle synchronization, European Union countries, EU candidates, complex systems, network topology.

Measuring Globalization: A hierarchical network approach

This paper investigates the business cycle co-movement across countries and regions since the middle of the last century as a measure for quantifying the ongoing globalization process of the world economy. Our methodological approach is based on analysis of a correlation matrix and the networks it contains. Such an approach summarizes the interaction and interdependence of all elements and it represents a more accurate measure of the global interdependence involved in the economic system. Our results show (1) that the dynamics of globalization has been more driven by synchronization in regional growth patterns than by the synchronization of the world economy as a whole in contrast with other empirical works and (2) that world crisis periods increase dramatically the global co movement in the world economy.Globalization, regionalism, correlation matrix, clustering, synchronization

Co-movements in commodity prices: a note based on network analysis

This paper analyses co-movements in a wide group of commodity prices during the time period 1992-2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are able to summarize global interaction and interdependence, capturing the existing heterogeneity in the degrees of synchronization between commodity prices. Our results produce two main findings: (a) we do not observe a persistent increase in the degree of co-movement of the commodity prices in our time sample, however from mid-2008 to the end of 2009 co-movements almost doubled when compared with the average correlation; (b) we observe three groups of commodities which have exhibited similar price dynamics (metals, oil and grains and oilseeds) and which have increased their degree of co-movement during the sampled period. These results suggest that speculation and uncertainty are drivers of the sharp slump in commodity prices synchronization.commodity prices, co-movement, hierarchy and topology, networks, complex systems

Identification of redundant and synergetic circuits in triplets of electrophysiological data

Neural systems are comprised of interacting units, and relevant information regarding their function or malfunction can be inferred by analyzing the statistical dependencies between the activity of each unit. Whilst correlations and mutual information are commonly used to characterize these dependencies, our objective here is to extend interactions to triplets of variables to better detect and characterize dynamic information transfer. Our approach relies on the measure of interaction information (II). The sign of II provides information as to the extent to which the interaction of variables in triplets is redundant (R) or synergetic (S). Here, based on this approach, we calculated the R and S status for triplets of electrophysiological data recorded from drug-resistant patients with mesial temporal lobe epilepsy in order to study the spatial organization and dynamics of R and S close to the epileptogenic zone (the area responsible for seizure propagation). In terms of spatial organization, our results show that R matched the epileptogenic zone while S was distributed more in the surrounding area. In relation to dynamics, R made the largest contribution to high frequency bands (14-100Hz), whilst S was expressed more strongly at lower frequencies (1-7Hz). Thus, applying interaction information to such clinical data reveals new aspects of epileptogenic structure in terms of the nature (redundancy vs. synergy) and dynamics (fast vs. slow rhythms) of the interactions. We expect this methodology, robust and simple, can reveal new aspects beyond pair-interactions in networks of interacting units in other setups with multi-recording data sets (and thus, not necessarily in epilepsy, the pathology we have approached here).Comment: 31 pages, 6 figures, 3 supplementary figures. To appear in the Journal of Neural Engineering in its current for

Network analysis of exchange data: Interdependence drives crisis contagion

In this paper we detect the linear and nonlinear co-movements presented on the real exchange rate in a group of 28 developed and developing countries that have suffered currency and financial crises during 15 years. We have used the matrix of Pearson correlation and Phase Synchronous (PS) coefficients and an appropriate metric distance between pairs of countries in order to construct a topology and hierarchies by using the Minimum Spanning Tree (MST). In addition, we have calculated the MST cost and global correlation coefficients to observe the co-movements dynamics along the time sample. By comparing Pearson and phase synchronous information we address a new methodology that can uncover meaningful information on the contagion economic issue and, more generally, in the debate around interdependence and/or contagion among financial time series. Our results suggest some evidence of contagion in the Asian currency crises but this crisis contagion is due to previous and stable interdependence