基于复杂网络的时间序列双变量相关性波动研究

为了研究具有时间序列特征的双变量之间相关性的波动规律, 本文选取国际原油期货价格和中国大庆原油现货价格作为样本数据, 借鉴统计物理学的方法进行研究.运用粗粒化方法建立了相关性波动模态, 并利用复杂网络理论和分析方法对双变量相关性波动模态的统计、变化规律及其演化机理三个问题进行了分析.结果显示, 双变量相关性波动模态分布具有幂律性、群簇性和周期性, 相关性波动主要通过少数几种模态进行传递和演化.这些研究成果不仅可以作为双变量间相关性波动研究的方法, 也为不同变量间相关性波动一般规律的研究提供了思路.     

基于时间序列符号化模式表征的有向加权复杂网络

时间序列复杂网络分析近些年已发展成为非线性信号分析领域的一个国际热点课题.为了能更有效地挖掘时间序列(特别是非线性时间序列)中的结构特征,同时简化时间序列分析的复杂度,提出了一种新的基于时间序列符号化结合滑窗技术模式表征的有向加权复杂网络建网方法.该方法首先按照等概率区段划分的方式将时间序列做符号化处理,结合滑窗技术确定不同时刻的符号化模式作为网络的节点;然后将待分析时间序列符号化模式的转换频次和方向作为网络连边的权重和方向,从而建立时间序列有向加权复杂网络.通过对Logistic系统不同参数设置对应的时间序列复杂网络建网测试结果表明,相比经典的可视图建网方法,本文方法的网络拓扑能更简洁、直观地展示时间序列的结构特征.进而,将本文方法应用于规则排列采集的自然风场信号分析,其网络特性指标能较准确地预测采集信号的排布规律,而可视图建网方法的网络特性指标没有任何规律性的结果.     

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.     

基于通信序列熵的复杂网络传输容量

网络的传输性能在一定程度上依赖于网络的拓扑结构.本文从结构信息的角度分析复杂网络的传输动力学行为,寻找影响网络传输容量的信息结构测度指标.通信序列熵可以有效地量化网络的整体结构信息,为了表征网络整体传输能力,把通信序列熵引入到复杂网络传输动力学分析中,研究网络的通信序列熵与传输性能之间的关联特性,分析这种相关性存在的内在机理.分别在BA无标度和WS小世界网络模型上进行仿真,结果显示:网络的通信序列熵与其传输容量存在密切关联性,随着通信序列熵的增加,网络拓扑结构的均匀性随之增强,传输容量明显增加.网络的传输容量是通信序列熵的单调递增函数,与通信序列熵成正关联关系.通信序列熵可有效评估网络的传输容量,本结论可为设计高传输容量网络提供理论依据.     

用于混沌时间序列预测的多簇回响状态网络

研究了混沌时间序列预测问题.提出了一种由五元生长因子组调控的类皮层神经网络模型,即多簇回响状态网络模型（MCESN）.研究表明该生长因子组能够有效决定模型的拓扑性质;同时具备小世界和无标度等复杂网络特征的MCESN能够获得较优的预测结果.通过Monte Carlo仿真实验表明,该模型不仅训练算法简单,而且与常规回响状态网络比较,预测结果的精度更高、标准差更小. 关键词： 混沌时间序列预测 回响状态网络 复杂网络 Ω复杂性')" href="#">Ω复杂性     

混合交通流时间序列的去趋势波动分析

应用去趋势波动分析法研究交通流时间序列的复杂性,探讨了混合交通流时间序列演变行为的标度指数.根据标度指数的变化特征,进而揭示交通流时间序列所具有的长程相关性和短程相关性.通过分析发现,存在一密度ρ,当ρ₁<ρ<ρ₂时,交通流时间序列具有长程相关性;而当ρ<ρ₁或ρ>ρ₂时,交通流时间序列具有短程相关性,即密度的变化影响着标度指数的变化.另外分析了在不同慢车比率条件下时间序列的标度指数,发现慢车比率的变化 关键词： 混合交通流 去趋势波动分析 时间序列 长程相关     

基于时间序列的网络失效模型

随着网络科学的发展,静态网络已不能清晰刻画网络的动态过程.在现实网络中,个体之间的交互随时间而快速演化.这种网络模式将时间与交互过程紧密联系,能够清晰刻画节点的动态过程.因此,如何更好地基于时间序列刻画网络行为变化是现有级联失效研究的重要问题.为了更好地研究该问题,本文提出一种基于时间序列的失效模型.通过随机攻击某时刻的节点,分析了时间、激活比例、连边数、连接概率4个参数对失效的影响并发现网络相变现象.同时为验证该模型的有效性与科学性,采用真实网络进行研究.实验表明,该模型兼顾时序以及传播动力学,具有较好的可行性,为解释现实动态网络的级联传播提供了参考.     

基于最大Lyapunov指数的多变量混沌时间序列预测

参考基于最大Lyapunov指数的单变量混沌时间序列预测方法,提出一种通过选取多个邻近重构向量,预测多变量混沌时间序列的局域法.采用新方法对两个完全不同的Rssler方程的耦合系统,Rssler方程和Hyper Rssler方程的耦合系统的多变量混沌时序进行一步和多步预测,结果表明了该方法的有效性,且算法具有较强的抗噪能力.讨论了参考邻近点数和预测结果的关系. 关键词： Lyapunov指数 混沌时间序列预测 多变量时间序列 最小二乘法     

多元时间序列复杂网络流型动力学分析

针对气液两相流流动特性,利用有限元分析方法设计变曲率对壁式电导传感器.采用设计加工的传感器在多相流装置上进行气液两相流动态实验,并测得多组对应于不同流型的电导波动信号. 基于测量数据,采用多元时间序列复杂网络构建算法构建对应于不同流型的复杂网络.在此基础上, 对网络的社团特性进行了分析, 研究发现,不同的社团结构对应于不同的流型,而社团内部网络特征可有效刻画不同流型内在动力学特性.多元时间序列复杂网络分析可为两相流流型演化动力学特性研究及流型识别提供新理论、开拓新途经.     

复杂网络中带有应急恢复机理的级联动力学分析

提出带有应急恢复机理的网络级联故障模型,研究模型在最近邻耦合网络,Erdos-Renyi随机网络,Watts-Strogatz小世界网络和Barabasi-Albert无标度网络四种网络拓扑下的网络级联动力学行为.给出了应急恢复机理和网络效率的定义,并研究了模型中各参数对网络效率和网络节点故障率在级联故障过程中变化情况的影响.结果表明,模型中应急恢复概率的增大减缓了网络效率的降低速度和节点故障率的增长速度,并且提高了网络的恢复能力.而且网络中节点负载容量越大,网络效率降低速度和节点故障率的增长速度越慢.同时,随着节点过载故障概率的减小,网络效率的降低速度和节点故障率的增长速度也逐渐减缓.此外,对不同网络拓扑中网络效率和网络节点故障率在级联故障过程中的变化情况进行分析,结果发现网络拓扑节点度分布的异质化程度的增大,提高了级联故障所导致的网络效率的降低速度和网络节点故障率的增长速度.以上结果分析了复杂网络中带有应急恢复机理的网络级联动力学行为,为实际网络中级联故障现象的控制和防范提供了参考.     

Detrended Fluctuation Analysis on Correlations of Complex Networks Under Attack and Repair Strategy

We analyze the correlation properties of the Erdos-Rényi random graph (RG) and the Barabási-Albert scale-free network (SF) under the attack and repair strategy with detrended fluctuation analysis (DFA). The maximum degree k representing the local property of the system, shows similar scaling behaviors for random graphs and scale-free networks. The fluctuations are quite random at short time scales but display strong anticorrelation at longer time scales under the same system size N and different repair probability pre. The average degree , revealing the statistical property of the system, exhibits completely different scaling behaviors for random graphs and scale-free networks. Random graphs display long-range power-law correlations. Scale-free networks are uncorrelated at short time scales; while anticorrelated at longer time scales and the anticorrelation becoming stronger with the increase of pre.     

On the Validity of Detrended Fluctuation Analysis at Short Scales

Detrended Fluctuation Analysis (DFA) has become a standard method to quantify the correlations and scaling properties of real-world complex time series. For a given scale ℓ of observation, DFA provides the function F(ℓ), which quantifies the fluctuations of the time series around the local trend, which is substracted (detrended). If the time series exhibits scaling properties, then F(ℓ)∼ℓα asymptotically, and the scaling exponent α is typically estimated as the slope of a linear fitting in the logF(ℓ) vs. log(ℓ) plot. In this way, α measures the strength of the correlations and characterizes the underlying dynamical system. However, in many cases, and especially in a physiological time series, the scaling behavior is different at short and long scales, resulting in logF(ℓ) vs. log(ℓ) plots with two different slopes, α1 at short scales and α2 at large scales of observation. These two exponents are usually associated with the existence of different mechanisms that work at distinct time scales acting on the underlying dynamical system. Here, however, and since the power-law behavior of F(ℓ) is asymptotic, we question the use of α1 to characterize the correlations at short scales. To this end, we show first that, even for artificial time series with perfect scaling, i.e., with a single exponent α valid for all scales, DFA provides an α1 value that systematically overestimates the true exponent α. In addition, second, when artificial time series with two different scaling exponents at short and large scales are considered, the α1 value provided by DFA not only can severely underestimate or overestimate the true short-scale exponent, but also depends on the value of the large scale exponent. This behavior should prevent the use of α1 to describe the scaling properties at short scales: if DFA is used in two time series with the same scaling behavior at short scales but very different scaling properties at large scales, very different values of α1 will be obtained, although the short scale properties are identical. These artifacts may lead to wrong interpretations when analyzing real-world time series: on the one hand, for time series with truly perfect scaling, the spurious value of α1 could lead to wrongly thinking that there exists some specific mechanism acting only at short time scales in the dynamical system. On the other hand, for time series with true different scaling at short and large scales, the incorrect α1 value would not characterize properly the short scale behavior of the dynamical system.     

Latent Network Construction for Univariate Time Series Based on Variational Auto-Encode

Time series analysis has been an important branch of information processing, and the conversion of time series into complex networks provides a new means to understand and analyze time series. In this work, using Variational Auto-Encode (VAE), we explored the construction of latent networks for univariate time series. We first trained the VAE to obtain the space of latent probability distributions of the time series and then decomposed the multivariate Gaussian distribution into multiple univariate Gaussian distributions. By measuring the distance between univariate Gaussian distributions on a statistical manifold, the latent network construction was finally achieved. The experimental results show that the latent network can effectively retain the original information of the time series and provide a new data structure for the downstream tasks.     

The Effect of a Hidden Source on the Estimation of Connectivity Networks from Multivariate Time Series

Many methods of Granger causality, or broadly termed connectivity, have been developed to assess the causal relationships between the system variables based only on the information extracted from the time series. The power of these methods to capture the true underlying connectivity structure has been assessed using simulated dynamical systems where the ground truth is known. Here, we consider the presence of an unobserved variable that acts as a hidden source for the observed high-dimensional dynamical system and study the effect of the hidden source on the estimation of the connectivity structure. In particular, the focus is on estimating the direct causality effects in high-dimensional time series (not including the hidden source) of relatively short length. We examine the performance of a linear and a nonlinear connectivity measure using dimension reduction and compare them to a linear measure designed for latent variables. For the simulations, four systems are considered, the coupled Hénon maps system, the coupled Mackey–Glass system, the neural mass model and the vector autoregressive (VAR) process, each comprising 25 subsystems (variables for VAR) at close chain coupling structure and another subsystem (variable for VAR) driving all others acting as the hidden source. The results show that the direct causality measures estimate, in general terms, correctly the existing connectivity in the absence of the source when its driving is zero or weak, yet fail to detect the actual relationships when the driving is strong, with the nonlinear measure of dimension reduction performing best. An example from finance including and excluding the USA index in the global market indices highlights the different performance of the connectivity measures in the presence of hidden source.     

Time Series Prediction Based on Chaotic Attractor

A new prediction technique is proposed for chaotic time series. The usefulness of the technique is thatit can kick off some false neighbor points which are not suitable for the local estimation of the dynamics systems. Atime-delayed embedding is used to reconstruct the underlying attractor, and the prediction model is based on the timeevolution of the topological neighboring in the phase space. We use a feedforward neural network to approximate thelocal dominant Lyapunov exponent, and choose the spatial neighbors by the Lyapunov exponent. The model is testedfor the Mackey-Glass equation and the convection amplitude of lorenz systems. The results indicate that this predictiontechnique can improve the prediction of chaotic time series.     

Nonlinear Time Series Prediction Using Chaotic Neural Networks

A nonlinear feedback term is introduced into the evaluation equation of weights of the backpropagation algorithm for neural network,the network becomes a chaotic one.For the purpose of that we can investigate how the different feedback terms affect the process of learning and forecasting,we use the model to forecast the nonlinear time series which is produced by Makey-Glass equation.By selecting the suitable feedback term,the system can escape from the local minima and converge to the global minimum or its approximate solutions,and the forecasting results are better than those of backpropagation algorithm.     

Time Series Prediction Based on Chaotic Attractor

A new prediction technique is proposed for chaotic time series. The usefulness of the technique is that it can kick off some false neighbor points which are not suitable for the local estimation of the dynamics systems. A time-delayed embedding is used to reconstruct the underlying attractor, and the prediction model is based on the time evolution of the topological neighboring in the phase space. We use a feedforward neural network to approximate the local dominant Lyapunov exponent, and choose the spatial neighbors by the Lyapunov exponent. The model is tested for the Mackey-Glass equation and the convection amplitude of lorenz systems. The results indicate that this prediction technique can improve the prediction of chaotic time series.     

Nonlinear Time Series Forecast Using Radial Basis Function Neural Networks

In the research of using Radial Basis Function Neural Network (RBF NN) forecasting nonlinear timeseries, we investigate how the different clusterings affect the process of learning and forecasting. We find that k-meansclustering is very suitable. In order to increase the precision we introduce a nonlinear feedback term to escape from thelocal minima of energy, then we use the model to forecast the nonlinear time series which are produced by Mackey-Glassequation and stocks. By selecting the k-means clustering and the suitable feedback term, much better forecasting resultsare obtained.     

Nonlinear Time Series Forecast Using Radial Basis Function Neural Networks

In the research of using Radial Basis Function Neural Network (RBF NN) forecasting nonlinear time series, we investigate how the different clusterings affect the process of learning and forecasting. We find that k-means clustering is very suitable. In order to increase the precision we introduce a nonlinear feedback term to escape from the local minima of energy, then we use the model to forecast the nonlinear time series which are produced by Mackey-Glass equation and stocks. By selecting the k-means clustering and the suitable feedback term, much better forecasting results are obtained.     

Evolution of Cohesion between USA Financial Sector Companies before,during, and Post-Economic Crisis: Complex Networks Approach

Various mathematical frameworks play an essential role in understanding the economic systems and the emergence of crises in them. Understanding the relation between the structure of connections between the system’s constituents and the emergence of a crisis is of great importance. In this paper, we propose a novel method for the inference of economic systems’ structures based on complex networks theory utilizing the time series of prices. Our network is obtained from the correlation matrix between the time series of companies’ prices by imposing a threshold on the values of the correlation coefficients. The optimal value of the threshold is determined by comparing the spectral properties of the threshold network and the correlation matrix. We analyze the community structure of the obtained networks and the relation between communities’ inter and intra-connectivity as indicators of systemic risk. Our results show how an economic system’s behavior is related to its structure and how the crisis is reflected in changes in the structure. We show how regulation and deregulation affect the structure of the system. We demonstrate that our method can identify high systemic risks and measure the impact of the actions taken to increase the system’s stability.