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1.
In this study, we employ a dynamic time warping method to study the topology of similarity networks among 35 major currencies in international foreign exchange (FX) markets, measured by the minimal spanning tree (MST) approach, which is expected to overcome the synchronous restriction of the Pearson correlation coefficient. In the empirical process, firstly, we subdivide the analysis period from June 2005 to May 2011 into three sub-periods: before, during, and after the US sub-prime crisis. Secondly, we choose NZD (New Zealand dollar) as the numeraire and then, analyze the topology evolution of FX markets in terms of the structure changes of MSTs during the above periods. We also present the hierarchical tree associated with the MST to study the currency clusters in each sub-period. Our results confirm that USD and EUR are the predominant world currencies. But USD gradually loses the most central position while EUR acts as a stable center in the MST passing through the crisis. Furthermore, an interesting finding is that, after the crisis, SGD (Singapore dollar) becomes a new center currency for the network. 相似文献
2.
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of these networks relies on the representation of changes follow on the occurrence of stress events. Here, from series of interbank liabilities and claims over different time periods, we have developed networks of positions (net claims) between countries. Besides the Minimal Spanning Tree analysis of the time-constrained networks, a coefficient of residuality is defined to capture the structural evolution of the network of cross-border financial linkages. Because some structural changes seem to be related to the role that countries play in the financial context, networks of debtor and creditor countries are also developed. Empirical results allows to relate the network structure that emerges in the last years to the globally turbulent period that has characterized financial systems since the latest nineties. The residuality coefficient highlights an important modification acting in the financial linkages across countries in the period 1997–2011, and situates the recent financial crises as replica of a larger structural change going on since 1997. 相似文献
3.
This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network. 相似文献
4.
Applying any strategy requires some knowledge about the past state of the system. Unfortunately in the case of economy, collecting information is a difficult, expensive and time consuming process. Therefore, the information about the system is usually known only at the end of some well-defined intervals, e.g. through company, national bank inflation data and Gross Domestic Product (GDP) reports, etc. They describe a (market) situation in the past. The time delay is specific to the market branch. It can be very short (e.g. stock market offer is updated every minute or so and this information is quasi-immediately available) or long, like months in the case of agricultural markets, when the decisions are taken based on the results from the previous harvest.The analysis of the information flow delay can be based on the Ausloos-Clippe-P?kalski (ACP) model of spatial evolution of economic systems. The entities can move on a (square) lattice and when meeting take one of the two following decisions: merge or create a new entity. The decision is based on the system state, which is known with some time delay. The effect of system's feedback is hereby investigated. We consider the case of company distribution evolution in a heterogeneous field. The information flow time delay implies different final states, including cycles; it is like a control parameter in a logistic map. 相似文献
5.
This paper uses two physics derived hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1995-2001. We find that these two techniques generate a defined and robust scale free network with meaningful taxonomy. The topology is shown to be robust with respect to method, to time horizon and is stable during market crises. This topology, appropriately used, gives a useful guide to determining the underlying economic or regional causal relationships for individual currencies and to understanding the dynamics of exchange rate price determination as part of a complex network. 相似文献
6.
We examined the time series properties of the foreign exchange market for 1990-2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean correlation coefficient between currencies decreased whereas the normalized tree length increased. The mean correlation coefficient dropped dramatically passing through the Asian crisis and remained at the lowered level after that. Second, the Euro and the US dollar showed a strong negative correlation after 1997, implying that the prices of the two currencies moved in opposite directions. Third, we observed that Asian countries and Latin American countries moved away from the cluster center (USA) passing through the Asian crisis and Argentine crisis, respectively. 相似文献
7.
Pouria Pedram 《Physica A》2012,391(5):2100-2105
We generalize the recently proposed quantum model for the stock market by Zhang and Huang to make it consistent with the discrete nature of the stock price. In this formalism, the price of the stock and its trend satisfy the generalized uncertainty relation and the corresponding generalized Hamiltonian contains an additional term proportional to the fourth power of the trend. We study a driven infinite quantum well where information as the external field periodically fluctuates and show that the presence of the minimal trading value of stocks results in a positive shift in the characteristic frequencies of the quantum system. The connection between the information frequency and the transition probabilities is discussed finally. 相似文献
8.
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US Dollar) and the TL (Turkish Lira) as numeraires in which the USD was the major currency and the TL was the minor currency. We derived a hierarchical organization and constructed minimal spanning trees (MSTs) and hierarchical trees (HTs) for the full years of 2007, 2008 and for the 2007-2008 period. We performed a technique to associate a value of reliability to the links of MSTs and HTs by using bootstrap replicas of data. We also used the average linkage cluster analysis for obtaining the hierarchical trees in the case of the TL as the numeraire. These trees are useful tools for understanding and detecting the global structure, taxonomy and hierarchy in financial data. We illustrated how the minimal spanning trees and their related hierarchical trees developed over a period of time. From these trees we identified different clusters of currencies according to their proximity and economic ties. The clustered structure of the currencies and the key currency in each cluster were obtained and we found that the clusters matched nicely with the geographical regions of corresponding countries in the world such as Asia or Europe. As expected the key currencies were generally those showing major economic activity. 相似文献
9.
João Dias 《Physica A》2012,391(5):2046-2055
In the wake of the financial crisis, sovereign debt crisis has emerged and is severely affecting some countries in the European Union, threatening the viability of the euro and even the EU itself. This paper applies recent developments in econophysics, in particular the minimum spanning tree approach and the associate hierarchical tree, to analyze the asynchronization between the four most affected countries and other resilient countries in the euro area. For this purpose, daily government bond yield rates are used, covering the period from April 2007 to October 2010, thus including yield rates before, during and after the financial crises. The results show an increasing separation of the two groups of euro countries with the deepening of the government bond crisis. 相似文献
10.
This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed. 相似文献
11.
Janusz Mi?kiewicz 《Physica A》2012,391(4):1388-1394
Any decision process requires information about the past and present state of the system, but in an economy acquiring data and processing it is an expensive and time-consuming task. Therefore, the state of the system is often measured over some legal interval, analysed after the end of well defined time periods and the results announced much later before any strategic decision is envisaged. The various time delay roles have to be crucially examined. Here, a model of stock market coupled with an economy is investigated to emphasise the role of the time delay span on the information flow. It is shown that the larger the time delay the more important the collective behaviour of agents since one observes time oscillations in the absolute log-return autocorrelations. 相似文献
12.
We investigate, within the scope of econophysics, the correlations, hierarchies and networks of the world’s automotive companies over the 2003–2010 period by using the concept of a minimal spanning tree (MST) and hierarchical tree (HT). We derive a hierarchical organization and construct the MSTs and HTs for the 2003–2010 period and illustrate how the MSTs and their associated HTs developed over time. These periods are divided into two subperiods, such as 2003–2006 and 2007–2010, in order to test various time-windows and understand the temporal evolution of the correlation structure over time. We perform the bootstrap techniques to investigate a value of the statistical reliability to the links of the MSTs. We also use average linkage cluster analysis (ALCA) to observe the cluster structure more clearly in HTs. From the structural topologies of these trees, we identify different clusters of companies according to their geographical proximity and economic ties. Our results show that some companies are more important within the network, due to a tighter connection with other companies. We also find that these important companies play a predominant role in the world’s automotive industry. 相似文献
13.
We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients arise from randomness. We show that the eigenvector of the largest deviating eigenvalue of C represents a global market itself. We reveal that high volatility of financial markets is observed at the same times with high correlations between them which lowers the risk diversification potential even if one constructs a widely internationally diversified portfolio of stocks. We identify and compare the connection and cluster structure of markets before and after the crisis using minimal spanning and ultrametric hierarchical trees. We find that after the crisis, the co-movement degree of the markets increases. We also highlight the key financial markets of pre and post crisis using main centrality measures and analyze the changes. We repeat the study using rank correlation and compare the differences. Further implications are discussed. 相似文献
14.
Fahimeh Salari Sehdaran Mohammad H. Zandi Alireza Bahrampour 《Physics letters. A》2019,383(35):126006
This work aims to compare results of dissipating and pure dephasing single-qubit probes in characterizing the cutoff frequency of a harmonic reservoir Ohmic spectral density. In particular, we proved that a dissipating single-qubit improves the estimation precision of the cutoff frequency estimator. The information backflow and outflow of the dissipating and the dephasing single-qubit are compared. The relation between the quantum Fisher information and the information outflow and backflow of the probe is obtained. The results show that difference between the values of information outflow and backflow of a dissipating single-qubit is larger than a dephasing single-qubit. So, a single-qubit probe extracts more information from an Ohmic reservoir by increasing the difference between the values of information outflow and backflow of the probe. 相似文献
15.
Microfluidic devices are used today in many engineering applications. However, despite much progress in this field, the fundamental understanding of fluid flow and heat transfer on the microscale is still not satisfactory. In this study, the rarefaction effects on the pressure drop for an incompressible flow through silicon microchannels having a rectangular, trapezoidal or double-trapezoidal cross-section are investigated. The roles of the Knudsen number and the cross-section aspect ratio in the friction factor reduction due to the rarefaction are pointed out. 相似文献
16.
This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the short-term interest rate is the most important within the interest rates network, which is in line with the Expectation Hypothesis of interest rates. Furthermore, we find that the Brazilian interest rates network forms clusters by maturity. 相似文献
17.
A hierarchical cluster-tendency (HCT) method in analyzing the group structure of networks of the global foreign exchange (FX) market is proposed by combining the advantages of both the minimal spanning tree (MST) and the hierarchical tree (HT). Fifty currencies of the top 50 World GDP in 2010 according to World Bank’s database are chosen as the underlying system. By using the HCT method, all nodes in the FX market network can be “colored” and distinguished. We reveal that the FX networks can be divided into two groups, i.e., the Asia-Pacific group and the Pan-European group. The results given by the hierarchical cluster-tendency method agree well with the formerly observed geographical aggregation behavior in the FX market. Moreover, an oil-resource aggregation phenomenon is discovered by using our method. We find that gold could be a better numeraire for the weekly-frequency FX data. 相似文献
18.
B. B. Vilenchits A. A. Zhdanovskii N. I. Lemesh L. A. Senchuk 《Journal of Applied Spectroscopy》1997,64(3):399-402
An experimental study is carried out to investigate a bilateral direct-flow vortex tube of small (0.3–3.0)·10−2 m) size and to compare its optical properties with those characteristics of vortex tubes of a larger ((3–16)\10−2 m) scale. A model is suggested for forming transverse profiles of the intensity of laser beams with an intensity hole in
the center and of annular beams.
Translated from Zhural Prikladnoi Spektroskopii, Vol. 64, No. 3, pp. 386–389, May–June, 1997 相似文献
19.
In real communication protocols, the information packets have a finite Time-to-Live (TTL) to avoid the waste of network resources, such as infinite loop induced by routing error or too long transferring time. In this paper, we introduce TTL into the information traffic model on Barabási-Albert scale-free networks under local routing strategy and focus on its effect on the network capacity measured by the critical point (Rc) of phase transition from free flow to congestion. Simulations show that the network capacity and the communication velocity are improved. However, some packets are dropped before they arrived at destinations. It is found that the share of successfully arrived packets monotonously increases with the increment of TTL and it is considerably acceptable if TTL is not very small. We also examine the effect of TTL on the positive-feedback preference (PFP) internet model and the results are alike. Our work may be helpful in quantifying the effect of packet lifetime in real communication networks and in routing strategy designing. 相似文献
20.
This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures market and spot market in China. Considering the short selling mechanism in the futures market, the paper introduces two new notions: upside VaR and extreme upside risk spillover. And downside VaR and upside VaR are examined by using the above approach. Also, we use Kupiec’s [P.H. Kupiec, Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives 3 (1995) 73-84] backtest to test the power of our approaches. In addition, we investigate information spillover effects between the futures market and the spot market by employing a linear Granger causality test, and Granger causality tests in mean, volatility and risk respectively. Moreover, we also investigate the relationship between the futures market and the spot market by using a test based on a kernel function. Empirical results indicate that there exist significant two-way spillovers between the futures market and the spot market, and the spillovers from the futures market to the spot market are much more striking. 相似文献