Random matrix theory and fund of funds portfolio optimisation

The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a fund of hedge funds portfolio requires a correlation matrix which often has to be estimated using a relatively small sample of monthly returns data which induces noise. In this paper, random matrix theory (RMT) is applied to a cross-correlation matrix C, constructed using hedge fund returns data. The analysis reveals a number of eigenvalues that deviate from the spectrum suggested by RMT. The components of the deviating eigenvectors are found to correspond to distinct groups of strategies that are applied by hedge fund managers. The inverse participation ratio is used to quantify the number of components that participate in each eigenvector. Finally, the correlation matrix is cleaned by separating the noisy part from the non-noisy part of C. This technique is found to greatly reduce the difference between the predicted and realised risk of a portfolio, leading to an improved risk profile for a fund of hedge funds.     

静息状态下脑功能连接的磁共振成像研究

静息状态下脑功能连接的磁共振成像研究近年来取得了迅猛发展. 通过对fMRI信号低频涨落成分的同步性分析,可以得到大脑静息态任意脑区的功能连接和多套网络系统,其中“默认网络”的发现可能为人脑固有网络的研究提供新的思路. 而静息态网络与解剖连接之间可能存在的对应,以及在神经精神疾病患者脑中性质和连接的异常改变,使其具有重要的研究和临床应用价值. 该文总结了静息状态功能磁共振成像的主要研究成果,对静息状态脑功能网络的发现和发展、研究方法、各网络及其特点以及在临床方面的应用进行简单的介绍和分析.     

PageRank centrality for temporal networks

In this paper, we propose a new centrality measure for ranking the nodes and time layers of temporal networks simultaneously, referred to as the f-PageRank centrality. The f-PageRank values of nodes and time layers in temporal networks are obtained by solving the eigenvector of a multi-homogeneous map. The existence and uniqueness of the proposed centrality measure are also guaranteed by existing results, under some reasonable conditions. The numerical experiments on a synthetic temporal network and two real-world temporal networks (i.e., Email-Eu-core and CollegeMsg temporal networks) show that the proposed centrality outperforms some existing centrality measures.     

Research on Community Detection in Complex Networks Based on Internode Attraction

With the rapid development of computer technology, the research on complex networks has attracted more and more attention. At present, the research directions of cloud computing, big data, internet of vehicles, and distributed systems with very high attention are all based on complex networks. Community structure detection is a very important and meaningful research hotspot in complex networks. It is a difficult task to quickly and accurately divide the community structure and run it on large-scale networks. In this paper, we put forward a new community detection approach based on internode attraction, named IACD. This algorithm starts from the perspective of the important nodes of the complex network and refers to the gravitational relationship between two objects in physics to represent the forces between nodes in the network dataset, and then perform community detection. Through experiments on a large number of real-world datasets and synthetic networks, it is shown that the IACD algorithm can quickly and accurately divide the community structure, and it is superior to some classic algorithms and recently proposed algorithms.     

磁刺激穴位复杂脑功能网络构建与分析

本文采用互信息方法对磁刺激内关穴过程中的脑电信 号进行了两两通道间非线性时域关联特性分析, 构建了不同频率刺激前、刺激中、刺激后的脑功能网络, 并基于复杂网络理论对脑功能网络的特征进行了深入研究. 结果表明, 磁刺激频率为3 Hz 时, 大脑功能网络的平均度、平均聚类系数和全局效率与刺激前相比均有显著升高, 平均路径长度显著降低, 并且相应脑功能网络的"小世界"属性有所增强, 信息在大脑各区域间的传递更加高效. 本研究首次开展了磁刺激穴位复杂脑功能网络的构建与分析, 为探索磁刺激穴位对大脑神经调节的作用和机理提供新思路和新方法. 关键词： 复杂网络 磁刺激 脑功能网络 互信息     

Eigenvalue density of cross-correlations in Sri Lankan financial market

We apply the universal properties with Gaussian orthogonal ensemble (GOE) of random matrices namely spectral properties, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix estimators from emerging market data. The daily stock prices of the Sri Lankan All share price index and Milanka price index from August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal properties of the GOE of real symmetric random matrices. The eigen distribution follows the RMT predictions in the bulk but there are some deviations at the large eigenvalues. The nearest-neighbor spacing and the next nearest-neighbor spacing of the eigenvalues were examined and found that they follow the universality of GOE. RMT with deterministic correlations found that each eigenvalue from deterministic correlations is observed at values, which are repelled from the bulk distribution.     

Understanding brain networks and brain organization

What is the relationship between brain and behavior? The answer to this question necessitates characterizing the mapping between structure and function. The aim of this paper is to discuss broad issues surrounding the link between structure and function in the brain that will motivate a network perspective to understanding this question. However, as others in the past, I argue that a network perspective should supplant the common strategy of understanding the brain in terms of individual regions. Whereas this perspective is needed for a fuller characterization of the mind-brain, it should not be viewed as panacea. For one, the challenges posed by the many-to-many mapping between regions and functions is not dissolved by the network perspective. Although the problem is ameliorated, one should not anticipate a one-to-one mapping when the network approach is adopted. Furthermore, decomposition of the brain network in terms of meaningful clusters of regions, such as the ones generated by community-finding algorithms, does not by itself reveal “true” subnetworks. Given the hierarchical and multi-relational relationship between regions, multiple decompositions will offer different “slices” of a broader landscape of networks within the brain. Finally, I described how the function of brain regions can be characterized in a multidimensional manner via the idea of diversity profiles. The concept can also be used to describe the way different brain regions participate in networks.     

Functional Connectivity Methods and Their Applications in fMRI Data

The availability of powerful non-invasive neuroimaging techniques has given rise to various studies that aim to map the human brain. These studies focus on not only finding brain activation signatures but also on understanding the overall organization of functional communication in the brain network. Based on the principle that distinct brain regions are functionally connected and continuously share information with each other, various approaches to finding these functional networks have been proposed in the literature. In this paper, we present an overview of the most common methods to estimate and characterize functional connectivity in fMRI data. We illustrate these methodologies with resting-state functional MRI data from the Human Connectome Project, providing details of their implementation and insights on the interpretations of the results. We aim to guide researchers that are new to the field of neuroimaging by providing the necessary tools to estimate and characterize brain circuitry.     

Detecting local community structures in complex networks based on local degree central nodes

Detecting local communities in real-world graphs such as large social networks, web graphs, and biological networks has received a great deal of attention because obtaining complete information from a large network is still difficult and unrealistic nowadays. In this paper, we define the term local degree central node whose degree is greater than or equal to the degree of its neighbor nodes. A new method based on the local degree central node to detect the local community is proposed. In our method, the local community is not discovered from the given starting node, but from the local degree central node that is associated with the given starting node. Experiments show that the local central nodes are key nodes of communities in complex networks and the local communities detected by our method have high accuracy. Our algorithm can discover local communities accurately for more nodes and is an effective method to explore community structures of large networks.     

Robustness of optimal synchronization in real networks

Experimental studies can provide powerful insights into the physics of complex networks. Here, we report experimental results on the influence of connection topology on synchronization in fiber-optic networks of chaotic optoelectronic oscillators. We find that the recently predicted nonmonotonic, cusplike synchronization landscape manifests itself in the rate of convergence to the synchronous state. We also observe that networks with the same number of nodes, same number of links, and identical eigenvalues of the coupling matrix can exhibit fundamentally different approaches to synchronization. This previously unnoticed difference is determined by the degeneracy of associated eigenvectors in the presence of noise and mismatches encountered in real-world conditions.     

A unified framework for mapping individual interregional high-order morphological connectivity based on regional cortical features from anatomical MRI

Building individual brain networks form the single volume of anatomical MRI is a challenging task. Furthermore, the high-order connectivity of morphological networks remains unexplored. This paper aimed to investigate the individual high-order morphological connectivity from anatomical MRI. Towards this goal, a unified framework based on six feature distances (euclidean, seuclidean, mahalanobis, cityblock, minkowski, and chebychev) was proposed to derive high-order interregional morphological features. The test-retest datasets and the healthy aging datasets were applied to analyze the reliability and the inter-subject variability of the novel features. In addition, the predictive models based on these novel features were established for age estimation. The proposed six neuroanatomical features exhibited significant high-to-excellent reliability. Certain connections were significantly correlated to biological age based on the six novel metrics (p < .05, FDR corrected). Moreover, the predicted age were significantly correlated to the original age in each regression task (r > 0.5, p < 10⁻⁶). The results suggested that the novel high-order metrics were reliable and could reflect individual differences, which could be beneficial for current methods of individual brain connectomes.     

Inter-vender and test-retest reliabilities of resting-state functional magnetic resonance imaging: Implications for multi-center imaging studies

This prospective multi-center study aimed to evaluate the inter-vendor and test-retest reliabilities of resting-state functional magnetic resonance imaging (RS-fMRI) by assessing the temporal signal-to-noise ratio (tSNR) and functional connectivity. Study included 10 healthy subjects and each subject was scanned using three 3 T MR scanners (GE Signa HDxt, Siemens Skyra, and Philips Achieva) in two sessions. The tSNR was calculated from the time course data. Inter-vendor and test-retest reliabilities were assessed with intra-class correlation coefficients (ICCs) derived from variant component analysis. Independent component analysis was performed to identify the connectivity of the default-mode network (DMN). In result, the tSNR for the DMN was not significantly different among the GE, Philips, and Siemens scanners (P = 0.638). In terms of vendor differences, the inter-vendor reliability was good (ICC = 0.774). Regarding the test-retest reliability, the GE scanner showed excellent correlation (ICC = 0.961), while the Philips (ICC = 0.671) and Siemens (ICC = 0.726) scanners showed relatively good correlation. The DMN pattern of the subjects between the two sessions for each scanner and between three scanners showed the identical patterns of functional connectivity. The inter-vendor and test-retest reliabilities of RS-fMRI using different 3 T MR scanners are good. Thus, we suggest that RS-fMRI could be used in multicenter imaging studies as a reliable imaging marker.     

Motif structure and cooperation in real-world complex networks

Networks of dynamical nodes serve as generic models for real-world systems in many branches of science ranging from mathematics to physics, technology, sociology and biology. Collective behavior of agents interacting over complex networks is important in many applications. The cooperation between selfish individuals is one of the most interesting collective phenomena. In this paper we address the interplay between the motifs’ cooperation properties and their abundance in a number of real-world networks including yeast protein-protein interaction, human brain, protein structure, email communication, dolphins’ social interaction, Zachary karate club and Net-science coauthorship networks. First, the amount of cooperativity for all possible undirected subgraphs with three to six nodes is calculated. To this end, the evolutionary dynamics of the Prisoner’s Dilemma game is considered and the cooperativity of each subgraph is calculated as the percentage of cooperating agents at the end of the simulation time. Then, the three- to six-node motifs are extracted for each network. The significance of the abundance of a motif, represented by a Z-value, is obtained by comparing them with some properly randomized versions of the original network. We found that there is always a group of motifs showing a significant inverse correlation between their cooperativity amount and Z-value, i.e. the more the Z-value the less the amount of cooperativity. This suggests that networks composed of well-structured units do not have good cooperativity properties.     

Investigation of the large-scale functional brain networks modulated by acupuncture

Previous neuroimaging studies have primarily focused on the neural activities involving the acute effects of acupuncture. Considering that acupuncture can induce long-lasting effects, several researchers have begun to pay attention to the sustained effects of acupuncture on the resting brain. Most of these researchers adopted functional connectivity analysis based on one or a few preselected brain regions and demonstrated various function-guided brain networks underlying the specific effect of acupuncture. Few have investigated how these brain networks interacted at the whole-brain level. In this study, we sought to investigate the functional correlations throughout the entire brain following acupuncture at acupoint ST36 (ACUP) in comparison with acupuncture at nearby nonacupoint (SHAM). We divided the whole brain into 90 regions and constructed functional brain network for each condition. Then we examined the network hubs and identified statistically significant differences in functional correlations between the two conditions. Following ACUP, but not SHAM, the limbic/paralimbic regions such as the amygdala, hippocampus and anterior cingulate gyrus emerged as network hubs. For direct comparisons, increased correlations for ACUP compared to SHAM were primarily related with the limbic/paralimbic and subcortical regions such as the insula, amygdala, anterior cingulate gyrus, and thalamus, whereas decreased correlations were mainly related with the sensory and frontal cortex. The heterogeneous modulation patterns between the two conditions may relate to the functional specific modulatory effects of acupuncture. The preliminary findings may help us to better understand the long-lasting effects of acupuncture on the entire resting brain, as well as the neurophysiological mechanisms underlying acupuncture.     

一种简易的脑片图像的半自动区域划分及细胞计数方法

脑科学研究往往需要对实验动物不同脑区的分子表达、细胞数目及神经网络连接模式进行量化和比较分析,然而目前缺乏简便易行的规模化的脑区划分方法.本文基于Paxinos和Franklin的第二版小鼠图谱以及Photoshop和ImageJ等图像处理软件,发展了一种简易的脑片图像的半自动区域划分及细胞计数方法.首先,基于小鼠脑图谱可获得脑区划分所需的标准模版;然后,利用Photoshop软件对标准模版进行变形矫正,可实现小鼠脑切片图像的快速规模化半自动配准及区域分割;最后,利用ImageJ可实现对配准及分区后的脑片图像不同区域的半自动神经细胞计数和分析.此方法适用于脑片免疫组织化学分析、神经元分布模式检测和神经环路标记等研究,其操作简便、易于获取、并且不依赖于其他昂贵的商业化神经图像分析软件,能为条件有限的科研工作者提供极大便利.     

Preferential survival in models of complex ad hoc networks

There has been a rich interplay in recent years between (i) empirical investigations of real-world dynamic networks, (ii) analytical modeling of the microscopic mechanisms that drive the emergence of such networks, and (iii) harnessing of these mechanisms to either manipulate existing networks, or engineer new networks for specific tasks. We continue in this vein, and study the deletion phenomenon in the web by the following two different sets of websites (each comprising more than 150,000 pages) over a one-year period. Empirical data show that there is a significant deletion component in the underlying web networks, but the deletion process is not uniform. This motivates us to introduce a new mechanism of preferential survival (PS), where nodes are removed according to the degree-dependent deletion kernel, D(k)∝k^−α, with α≥0. We use the mean-field rate equation approach to study a general dynamic model driven by Preferential Attachment (PA), Double PA (DPA), and a tunable PS (i.e., with any α>0), where c nodes (c<1) are deleted per node added to the network, and verify our predictions via large-scale simulations. One of our results shows that, unlike in the case of uniform deletion (i.e., where α=0), the PS kernel when coupled with the standard PA mechanism, can lead to heavy-tailed power-law networks even in the presence of extreme turnover in the network. Moreover, a weak DPA mechanism, coupled with PS, can help to make the network even more heavy-tailed, especially in the limit when deletion and insertion rates are almost equal, and the overall network growth is minimal. The dynamics reported in this work can be used to design and engineer stable ad hoc networks and explain the stability of the power-law exponents observed in real-world networks.     

基于相对距离的复杂网络谱粗粒化方法

复杂网络的同步作为一种重要的网络动态特性,在通信、控制、生物等领域起着重要的作用.谱粗粒化方法是一种在保持原始网络的同步能力尽量不变情况下将大规模网络约简为小规模网络的算法.此方法在对约简节点分类时是以每个节点对应特征向量分量间的绝对距离作为判断标准,在实际运算中计算量大,可执行性较差.本文提出了一种以特征向量分量间相对距离作为分类标准的谱粗粒化改进算法,能够使节点的合并更加合理,从而更好地保持原始网络的同步能力.通过经典的三种网络模型(BA无标度网络、ER随机网络、NW小世界网络)和27种不同类型实际网络的数值仿真分析表明,本文提出的算法对比原来的算法能够明显改善网络的粗粒化效果,并发现互联网、生物、社交、合作等具有明显聚类结构的网络在采用谱粗粒化算法约简后保持同步的能力要优于电力、化学等模糊聚类结构的网络.     

Overlapping Community Detection Based on Membership Degree Propagation

A community in a complex network refers to a group of nodes that are densely connected internally but with only sparse connections to the outside. Overlapping community structures are ubiquitous in real-world networks, where each node belongs to at least one community. Therefore, overlapping community detection is an important topic in complex network research. This paper proposes an overlapping community detection algorithm based on membership degree propagation that is driven by both global and local information of the node community. In the method, we introduce a concept of membership degree, which not only stores the label information, but also the degrees of the node belonging to the labels. Then the conventional label propagation process could be extended to membership degree propagation, with the results mapped directly to the overlapping community division. Therefore, it obtains the partition result and overlapping node identification simultaneously and greatly reduces the computational time. The proposed algorithm was applied to a synthetic Lancichinetti–Fortunato–Radicchi (LFR) dataset and nine real-world datasets and compared with other up-to-date algorithms. The experimental results show that our proposed algorithm is effective and outperforms the comparison methods on most datasets. Our proposed method significantly improved the accuracy and speed of the overlapping node prediction. It can also substantially alleviate the computational complexity of community structure detection in general.     

Global correlation matrix spectra of the surface temperature of the oceans from random matrix theory to Poisson fluctuations

In this work we use the random matrix theory (RMT) to correctly describe the behavior of spectral statistical properties of the sea surface temperature of oceans. This oceanographic variable plays an important role in the global climate system. The data were obtained from National Oceanic and Atmospheric Administration (NOAA) and delimited for the period 1982 to 2016. The results show that oceanographic systems presented specific β values that can be used to classify each ocean according to its correlation behavior. The nearest-neighbors spacing of correlation matrix for north, central and south of the three oceans get close to a RMT distribution. However, the regions delimited in the Antarctic pole exhibited the distribution of the nearest-neighbors spacing well described by the Poisson model, which shows a statistical change of RMT to Poisson fluctuations.