Physics – Physics and Society
Scientific paper
2008-11-24
Chaos, Vol. 19, No. 3: 033119 (2009)
Physics
Physics and Society
8 pages, 6 figures, accepted for publication in Chaos
Scientific paper
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes without having to track entire communities. As an example, we consider a foreign exchange market network in which each node represents an exchange rate and each edge represents a time-dependent correlation between the rates. We study the period 2005-2008, which includes the recent credit and liquidity crisis. Using dynamical community detection, we find that exchange rates that are strongly attached to their community are persistently grouped with the same set of rates, whereas exchange rates that are important for the transfer of information tend to be positioned on the edges of communities. Our analysis successfully uncovers major trading changes that occurred in the market during the credit crisis.
Fenn Daniel J.
Johnson Neil F.
Jones Nick S.
McDonald Mark
Porter Mason A.
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