A robust filter in stock networks analysis

We show that the use of a minimal spanning tree (MST) to filter important information in a complex system is not robust except when the system contains a unique MST. In this paper we propose to use the forest of all MSTs as a robust filter. According to this filter, centrality measures are also robust. For that purpose an algorithm, which can also be used to detect the uniqueness of an MST, will be provided. A simple hypothetical example will clarify the construction of the proposed filter and a real problem in filtering the information contained in NYSE 100 stocks will illustrate its advantages compared to the MST-based filter.     

An efficient algorithm for optimal manycast routing problem over WDM networks

In this paper, we discuss the problem of supporting resource optimization of manycasting service over wavelength division multiplexing (WDM) optical networks. Manycast is a novel group communication paradigm wherein the source is required to send data packets to a certain number of a set of pre-specified group members. Since it integrates the characteristic of multicast and anycast, manycast is attracting increasing interest from researchers over wavelength division multiplexing (WDM) optical networks. Splitter, cost, wavelength channel are three parameters which are taken into consideration for the first time in WDM. Finding a manycast tree which span the resource and selected nodes with minimum number of splitter, cost and wavelength channel is an NP-complete problem, and therefore we propose a simple and efficient heuristic solution: based-frequency manycast routing (BFM) algorithm to construct manycast trees with the aim of reducing the use of network resources. For a set of manycast requests, the simulation result shows BFM builds manycast trees with the smallest number of resources than other algorithms.     

Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series

We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two networks increases as more eigenvalues are considered. In addition, we suggested that the largest eigenvalue has a significant influence on the formation of stock networks.     

An algorithm for the efficient acoustic analysis of silencers of any general geometry

Transfer matrix analysis provides a very efficient means to analyse the linear plane-wave acoustic performance of silencer systems in the frequency domain. However, the nature of the algorithm for combination and reduction of the matrices is different for different combinations of elements. This paper describes an efficient algorithm for acoustic analysis of any general silencer system. The basic format of the algorithm is the identification of sub-systems of two-port acoustic elements. Computational time is also reduced by recording the order in which all of the elements are analysed and the sub-systems are reduced. Examples of the analysis of several complex silencer systems are presented. The gain in efficiency over a general global matrix approach is exceptional.     

Comovements in government bond markets: A minimum spanning tree analysis

The concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993-2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined.     

An efficient shooting algorithm for Evans function calculations in large systems

In Evans function computations of the spectra of asymptotically constant-coefficient linear operators, a basic issue is the efficient and numerically stable computation of subspaces evolving according to the associated eigenvalue ODE. For small systems, a fast, shooting algorithm may be obtained by representing subspaces as single exterior products [J.C. Alexander, R. Sachs, Linear instability of solitary waves of a Boussinesq-type equation: A computer assisted computation, Nonlinear World 2 (4) (1995) 471–507; L.Q. Brin, Numerical testing of the stability of viscous shock waves, Ph.D. Thesis, Indiana University, Bloomington, 1998; L.Q. Brin, Numerical testing of the stability of viscous shock waves, Math. Comp. 70 (235) (2001) 1071–1088; L.Q. Brin, K. Zumbrun, Analytically varying eigenvectors and the stability of viscous shock waves, in: Seventh Workshop on Partial Differential Equations, Part I, 2001, Rio de Janeiro, Mat. Contemp. 22 (2002) 19–32; T.J. Bridges, G. Derks, G. Gottwald, Stability and instability of solitary waves of the fifth-order KdV equation: A numerical framework, Physica D 172 (1–4) (2002) 190–216]. For large systems, however, the dimension of the exterior-product space quickly becomes prohibitive, growing as , where n is the dimension of the system written as a first-order ODE and k (typically n/2) is the dimension of the subspace. We resolve this difficulty by the introduction of a simple polar coordinate algorithm representing “pure” (monomial) products as scalar multiples of orthonormal bases, for which the angular equation is a numerically optimized version of the continuous orthogonalization method of Drury–Davey [A. Davey, An automatic orthonormalization method for solving stiff boundary value problems, J. Comput. Phys. 51 (2) (1983) 343–356; L.O. Drury, Numerical solution of Orr-Sommerfeld-type equations, J. Comput. Phys. 37 (1) (1980) 133–139] and the radial equation is evaluable by quadrature. Notably, the polar-coordinate method preserves the important property of analyticity with respect to parameters.     

水平层状各向异性介质中电磁场并矢Green函数的一种高效算法

利用高阶窗函数结合连分式展开等技术研究并建立一种水平层状各向异性介质中电磁场并矢Green函数的快速有效算法. 首先借助于高阶窗函数将构成并矢Green函数的Sommerfeld积分转化成广义快速下降路径上积分,并给出高阶窗函数Hankel变换的一种新的更高阶幂级数展开式以及严格的Lommel函数表达式,以满足在全空间上高精度计算并矢Green函数的要求. 在此基础上,用Bessel函数的零点将积分路径划分成一系列小区间并通过改进的自适应Gauss求积公式确定各个小区间上的积分值,然后引入连分式展开法对各个区间上的积分值求和,从而使整个积分的收敛效率得到大大提高. 最后通过数值结果验证本方法的有效性. 关键词： 高阶窗函数 连分式展开 并矢Green函数 层状各向异性介质     

海洋可控源三维电磁响应显式灵敏度矩阵的快速算法

借助电场耦合势三维有限体积法与直接求解技术,研究建立了一套海洋可控源三维电磁响应显式灵敏度矩阵(或称为Fréchet导数)高效算法.首先,利用Yee氏交错网格和有限体积法对电场混合势Helmholtz方程进行离散处理,建立与移动源电磁场正演模拟相对应的大型代数方程组,再应用直接法得到的逆矩阵和三维线性插值技术事先确定插值算子和投影算子,并利用投影算子与各个发射源离散向量的乘积计算多发射源电磁响应,极大地提高了多发射源电磁场正演模拟效率.在此基础上,根据块状模型和像素模型中异常体电导率分片常数分布特征,将电导率摄动产生的一次散射电流场表示成Yee氏剖分网格上散射电流元的叠加,由投影算子与散射电流元的离散向量的乘积快速计算出电场强度与磁场强度的显式灵敏度矩阵.最后,通过数值计算检验算法的有效性,并通过块状模型与像素模型分别研究海洋可控源电磁响应特征.     

An analysis of the radial flow in the heterogeneous porous media based on fractal and constructal tree networks

In this paper, an analysis of the radial flow in the heterogeneous porous media based on fractal and constructal tree networks is presented. A dual-domain model is applied to simulate the heterogeneous porous media embedded with a constructal tree network based on the fractal distribution of pore space and tortuosity nature of flow paths. The analytical expressions for seepage velocity, pressure drop, local and global permeability of the network and binary system are derived, and the transport properties for the optimal branching structure are discussed. Notable is that the global permeability (K_n) of the network and the volume fraction (f_n) occupied by the network exhibit linear scaling law with the fractal dimension (D_p) of channel diameter bylogK_n∼0.46D_p and logf_n∼1.03D_p, respectively. Our analytical results are in good agreement with the available numerical results for steady-state soil vapor extraction and indicate that the fractal dimension for pore space has significant effect on the permeable properties of the media. The proposed dual-domain model may capture the characteristics of heterogeneous porous media and help understanding the transport mechanisms of the radial flow in the media.     

Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient

In this study, we first build two empirical cross-correlation matrices in the US stock market by two different methods, namely the Pearson’s correlation coefficient and the detrended cross-correlation coefficient (DCCA coefficient). Then, combining the two matrices with the method of random matrix theory (RMT), we mainly investigate the statistical properties of cross-correlations in the US stock market. We choose the daily closing prices of 462 constituent stocks of S&P 500 index as the research objects and select the sample data from January 3, 2005 to August 31, 2012. In the empirical analysis, we examine the statistical properties of cross-correlation coefficients, the distribution of eigenvalues, the distribution of eigenvector components, and the inverse participation ratio. From the two methods, we find some new results of the cross-correlations in the US stock market in our study, which are different from the conclusions reached by previous studies. The empirical cross-correlation matrices constructed by the DCCA coefficient show several interesting properties at different time scales in the US stock market, which are useful to the risk management and optimal portfolio selection, especially to the diversity of the asset portfolio. It will be an interesting and meaningful work to find the theoretical eigenvalue distribution of a completely random matrix R for the DCCA coefficient because it does not obey the Mar?enko–Pastur distribution.     

An analytical algorithm for the evaluation of two-electron integrals in diatomics: A test calculation with an elliptical basis set

A purely analytical method designed to compute the two-electron integrals that appear in anab-initio calculation of the electronic structures of diatomic molecules using elliptical basis set is presented. Test calculations are successfully carried out on LiH molecule.