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Journal article

Dynamic communities in multichannel data: an application to the foreign exchange market during the 2007-2008 credit crisis.

Abstract:

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...

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Publication status:
Published

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Publisher copy:
10.1063/1.3184538

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
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Journal:
Chaos (Woodbury, N.Y.)
Volume:
19
Issue:
3
Pages:
033119
Publication date:
2009-09-01
DOI:
EISSN:
1089-7682
ISSN:
1054-1500
Source identifiers:
16247
Language:
English
Keywords:
Pubs id:
pubs:16247
UUID:
uuid:a1227a73-98ff-439b-9a44-b2c554a5ef85
Local pid:
pubs:16247
Deposit date:
2012-12-19

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