Complex network-based time series analysis

Yue Yang and Huijie Yang

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 5, 1381-1386

Abstract: Recent works show that complex network theory may be a powerful tool in time series analysis. We propose in this paper a reliable procedure for constructing complex networks from the correlation matrix of a time series. An original stock time series, the corresponding return series and its amplitude series are considered. The degree distribution of the original series can be well fitted with a power law, while that of the return series can be well fitted with a Gaussian function. The degree distribution of the amplitude series contains two asymmetric Gaussian branches. Reconstruction of networks from time series is a common problem in diverse research. The proposed strategy may be a reasonable solution to this problem.

Keywords: Complex networks; Time series analysis; Network construction (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (58)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:5:p:1381-1386

DOI: 10.1016/j.physa.2007.10.055

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