Dependency network and node influence: Application to the study of financial markets

International Journal of Bifurcation and Chaos

Volumn 22, Issue 7, 2012, Pages

  Kenett, Dror Y ^a   Preis, Tobias ^b,c,d   Gur Gershgoren, Gitit ^e,f   Ben Jacob, Eshel ^a  

^a TEL AVIV UNIVERSITY   (Israel)

^b Boston University   (United States)

^c ETH ZURICH   (Switzerland)

^d Artemis Capital Asset Management GmbH   (Germany)

^e ONO ACADEMIC COLLEGE   (Israel)

^f Israel Securities Authority   (Israel)

Author keywords

Complex systems; dependency network; network; partial correlation; switching point analysis

Indexed keywords

COMMERCE; FINANCE; FINANCIAL MARKETS; LARGE SCALE SYSTEMS; NETWORK SECURITY; NETWORKS (CIRCUITS); TOPOLOGY;

DEPENDENCY NETWORKS; DOW JONES INDUSTRIAL AVERAGES; MUTUAL DEPENDENCIES; PARTIAL CORRELATION; STRUCTURE AND DYNAMICS; SWITCHING POINT ANALYSIS; SYSTEM-LEVEL ANALYSIS; TOPOLOGICAL RELATIONS;

COMPLEX NETWORKS;

EID: 84864796266     PISSN: 02181274     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218127412501817     Document Type: Conference Paper

References (39)

1. Baba, K. 2004 "Partial correlation and conditional correlation as measures of conditional independence," Aust. N.Z. J. Stat. 46, 657-664.
2. Block, B., Virnau, P. & Preis, T. 2010 "Multi-GPU accelerated multi-spin Monte Carlo simulations of the 2D Ising model," Comput. Phys. Commun. 181, 1549-1556.
3. Boccaletti, S., Latora, V., Moreno, Y. & Chavez, M. 2006 "Complex networks: Structure and dynamics," Phys. Rep. 424, 175-308.
4. Bollobás, B. 1985 Random Graphs, 1st edition (Academic).
5. Chou, Y. 1975 Statistical Analysis, 1st edition (Holt International).
6. Coronnello, C., Tumminello, M., Lillo, F., Micciche, S. & Mantegna, R. N. 2005 "Sector identification in a set of stock return time series traded at the London Stock Exchange," A. Phys. Pol. B 36, 2653-2679.
7. Erdos, P. & Renyi, A. 1959 "On random graphs," Publ. Math. Debrecen 6, 290.
8. Erdos, P. & Renyi, A. 1960 "On the evolution of random graphs," Publ. Math. Inst. Hung. Acad. Sci. 5, 17.
9. Jong, H. D. 2002 "Modeling and simulation of genetic regulatory systems: A literature review," J. Comput. Biol. 9, 67-103.
10. Kenett, D. Y., Tumminello, M., Madi, A., Gur-Gershgoren, G., Mantegna. R. N. & Ben-Jacob, E. 2010 "Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market," PLoS ONE 5, e15032.
11. Kenett, D. Y., Shapira, Y., Madi, A., Bransburg-Zabary, S., Gur-Gershgoren, G. & Ben-Jacob, E. 2011a "Index cohesive force analysis reveals that the US market became prone to systemic collapses since 2002," PLoS ONE 6, e19378.
12. Kenett, Y. N., Kenett, D. Y., Ben-Jacob, E. & Faust, M. 2011b "Global and local features of semantic networks: Evidence from the Hebrew mental lexicon," PLoS ONE 6, e23912.
13. Kenett, D. Y., Raddant, M., Lux, T. & Ben-Jacob, E. 2012 "Evolvement of uniformity and volatility in the stressed global financial village," PLoS ONE 7, e31144.
14. Lee, U. & Kim, S. 2006 "Classification of epilepsy types through global network analysis of scalp electroencephalograms," Phys. Rev. E 73, 041920.
15. Madi, A., Kenett, D. Y., Bransburg-Zabary, S., Boccaletti, S., Tauber, A. I., Cohen, I. R. & Ben-Jacob, E. 2011 "Analyses of antigen dependency networks unveil immune system reorganization between birth and adulthood," Chaos 21, 016109.
16. Mantegna, R. N. 1999 "Hierarchical structure in financial markets," Eur. Phys. J. B 11, 193-197.
17. Mantegna, R. N. & Stanley, H. E. 2000 An Introduction to Econophysics: Correlation and Complexity in Finance, 1st edition (Cambridge University Press, Cambridge, UK).
18. Moreno, Y., Pastor-Satorras, R., Vazquez, A. & Vespignani, A. 2003 "Critical load and congestion instabilities in scale-free networks," Europhys. Lett. 62, 292.
19. Motter, A. E. & Lai, Y. C. 2002 "Cascade-based attacks on complex networks," Phys. Rev. E 66, 065102.
20. Motter, A. E. 2004 "Cascade control and defense in complex networks," Phys. Rev. Lett. 93, 098701.
21. Myers, J. L. & Weil, A. D. 2003 Research Design and Statistical Analysis, 1st edition (Lawrence Erlbaum Associates Publishers, USA).
22. Newman, M. E. J. 2006 "Modularity and community structure in networks," Proc. Natl. Acad. Sci. USA 103, 8582.
23. Ortega, G. J., Sola, R. G. & Pastor, J. 2008 "Complex network analysis of human ECoG data," Neurosci. Lett. 447, 129-133.
24. Parshani, R., Buldyrev, S. V. & Havlin, S. 2011 "Critical effect of dependency groups on the function of networks," Proc. Natl. Acad. Sci. USA 108, 1007.
25. Preis, T., Reith, D. & Stanley, H. E. 2010 "Complex dynamics of our economic life on different scales: Insights from search engine query data," Philos. T. Roy. Soc. A 368, 5707-5719.
26. Preis, T. & Stanley, H. E. 2010 "Switching phenomena in a system with no switches," J. Stat. Phys. 138, 431-446.
27. Preis, T. 2010 "Simulating the microstructure of financial markets," J. Phys. Conf. Ser. 221, 012019.
28. Preis, T. 2011 "Econophysics-Complex correlations and trend switchings in financial time series," Eur. Phys. J.-Spec. Top. 194, 5-86.
29. Preis, T., Schneider, J. J. & Stanley, H. E. 2011 "Switching processes in financial markets," Proc. Natl. Acad. Sci. USA 108, 7674-7678.
30. Preis, T. & Stanley, H. E. 2011 "Bubble trouble," Phys. World 24(5), 29-32.
31. Sandoval Junior, L. & Franca, I. D. P. 2012 "Correlation of financial markets in times of crisis," Physica A 391, 187-208.
32. Shapira, Y., Kenett, D. Y. & Ben-Jacob, E. 2009 "The index cohesive effect on stock market correlations," Eur. Phys. J. B 72, 657-669.
33. Song, D. M., Tumminello, M., Zhou,W. X. & Mantegna, R. N. 2011 "Evolution of worldwide stock markets, correlation structure and correlation based graphs," Phys. Rev. E 84, 026108.
34. Stanley, H. E., Buldyrev, S. V., Franzese, G., Havlin, S., Mallamace, F., Kumar, P., Plerou, V. & Preis, T. 2010 "Correlated randomness and switching phenomena," Physica A 389, 2880-2893.
35. Tumminello, M., Aste, T., Di Matteo, T. & Mantegna, R. N. 2005 "A tool for filtering information in complex systems," Proc. Natl. Acad. Sci. USA 102, 10421-10426.
36. Tumminello, M., Coronnello, C., Lillo, F., Micciche, S. & Mantegna, R. N. 2007 "Spanning trees and bootstrap reliability estimation in correlationbased networks," Int. J. Bifurcation and Chaos 17, 2319-2329.
37. Tumminello, M., Lillo, F. & Mantegna, R. N. 2010 "Correlation, hierarchies, and networks in financial markets," J. Econ. Behav. Organiz. 75, 40-58.
38. Watts, D. J. 2002 "A simple model of global cascades on random networks," Proc. Natl. Acad. Sci. USA 99, 5766.
39. West, D. B. 2001 An Introduction to Graph Theory, 1st edition (Prentice-Hall, Englewood Cliffs, NJ).