دورية أكاديمية
Modularity cluster finding in financial time series
| العنوان: | Modularity cluster finding in financial time series |
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| المؤلفون: | D Papi, S M S Movahed |
| المصدر: | Iranian Journal of Physics Research, Vol 21, Iss 2, Pp 317-334 (2021) |
| بيانات النشر: | Isfahan University of Technology, 2021. |
| سنة النشر: | 2021 |
| المجموعة: | LCC:Physics |
| مصطلحات موضوعية: | econophysics, complex network, clustering, modularity maximization, random matrix theory, Physics, QC1-999 |
| الوصف: | In this paper, relying on the clustering of complex networks that can determine large scale features of the network, we study 48 financial markets across the world. To this end, we develop a modularity maximization method for directed and weighted networks. According to the linear correlation measure, we construct the adjacency matrix, and by using the theory of random matrices, we divide the space of eigenvalues of our matrix into two irrelevant and relevant fragments. By considering the temporal window and its evolution over time series, our results demonstrate that in the vicinity of so-called financial crisis clusters, which are often affected by geographical characteristics, are formed and from the perspective of complex networks, they show more random behavior. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Persian |
| تدمد: | 1682-6957 2345-3664 |
| Relation: | http://ijpr.iut.ac.ir/article_1698_c72508f9abb0e3b04bfdb5cf8ef6f633.pdf; https://doaj.org/toc/1682-6957; https://doaj.org/toc/2345-3664 |
| DOI: | 10.47176/ijpr.21.2.51066 |
| URL الوصول: | https://doaj.org/article/dbfd9c038312420b91baf3b23dc89ae3 |
| رقم الأكسشن: | edsdoj.bfd9c038312420b91baf3b23dc89ae3 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 16826957 23453664 |
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| DOI: | 10.47176/ijpr.21.2.51066 |