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نتیجه جستجو - Minimum spanning tree

تعداد مقالات یافته شده: 4
ردیف عنوان نوع
1 A network approach to unravel asset price comovement using minimal dependence structure
یک دیدگاه شبکه ای برای باز کردن هم حرکتی قیمت دارایی با استفاده از ساختار حداقل وابستگی-2018
We develop a network representation-based methodology to aid an exploratory analysis of temporally evolving comovement in asset prices. This parsimonious order-n representation of the most significant comovement in asset prices, filtered by common factors, allows tackling a large number of assets and unraveling their complex comovement structure. Flexibility in choosing explanatory factors to suit the specific objectives of a study makes this methodology useful for portfolio analysis, risk parity approaches, and risk management decisions. We illustrate the features of the methodology for a set of major industry equity indices and to blue chip stocks, where we analyze the dynamic relevance of Fama–French factors. Investigating the network for more than 20 years, including the dot-com bust, global financial crisis, and European debt crisis, helps draw many insights. For instance, unexpected industries are seen to connect idiosyncratically through the dot-com bust. We demonstrate that a network factor model based portfolio allocation performs better than a regular factor model based allocation.
keywords: Minimum spanning tree |Non-stationarity |Asset price dynamics |Network analysis |Factor model
مقاله انگلیسی
2 Parameterized complexity of team formation in social networks
پیچیدگی پارامترهای تشکیل تیم در شبکه های اجتماعی-2017
Given a task that requires some skills and a social network of individuals with different skills, the Team Formation problem asks to find a team of individuals that together can perform the task, while minimizing communication costs. Since the problem is NP-hard, we identify the source of intractability by analyzing its parameterized complexity with respect to parameters such as the total number of skills k, the team size l, the communication cost budget b, and the maximum vertex degree . We show that the computational complexity strongly depends on the communication cost measure: when using the weight of a minimum spanning tree of the subgraph formed by the selected team, we obtain fixed parameter tractability for example with respect to the parameter k. In contrast, when using the diameter as measure, the problem is intractable with respect to any single parameter; however, combining with either b or l yields fixed-parameter tractability.
Keywords: Computational complexity analysis | Parameterized complexity analysis | Team formation on social networks
مقاله انگلیسی
3 An Efficient Parallel Data Clustering Algorithm Using Isoperimetric Number of Trees
الگوریتم خوشه بندی موازی موثر داده ها با استفاده از تعداد ایزوپرمتریک درختان-2017
We propose a parallel graph-based data clustering algorithm using CUDA GPU, based on exact clustering of the minimum spanning tree in terms of a minimum isoperi metric criteria. We also provide a comparative performance analysis of our algorithm with other related ones which demonstrates the general superiority of this parallel algorithm over other competing algorithms in terms of accuracy and speed. Keywords: Isoperimetric number, Cheeger constant, Normalized cut, Graph partition ing
مقاله انگلیسی
4 Correlation structure and dynamics of international real estate securities markets: A network perspective
ساختار ارتباط و پویایی املاک و مستغلات بازار اوراق بهادار بین المللی: چشم انداز شبکه-2015
In this paper, we investigate the correlation structure and dynamics of international real estate securities markets by using daily returns of 20 national markets during the period 2006–2012 from a network perspective. We construct the minimum spanning tree (MST), the hierarchical tree (HT), and the planar maximally filtered graph (PMFG) obtained from the correlation matrix computed by the daily returns during the investigated period, and analyze the corresponding clustering structure, hierarchical structure, and community structure. We also build the time-varying MST and PMFG networks by a rolling window to examine the dynamics of correlation structure. The empirical results show that (1) the distribution of correlation coefficients is asymmetric, fat-tailed, and non-Gaussian. (2) The distributions of the influence-strength of the MST and PMFG networks obey a power-law. (3) Two clusters (i.e., the European and Asia-Pacific clusters) are found in the MST network, three hierarchical clusters (i.e., two like in the MST and the North American cluster) in the HT, and three communities in the PMFG network, which shows that national markets are linked together according to their geographical distributions. (4) The descriptive statistics of correlation coefficients and distances of the MSTs and PMFGs are time-varying; especially during periods of crisis they have a large fluctuation. (5) A huge number of linkages between national markets survive from one time to the next, and the long-term stability of the correlation structure in international real estate securities markets descends as time goes on. Our obtained results are new insights in international real estate securities markets and have wide applications for investment portfolio and risk management. Keywords: Real estate securities markets Correlation structure Network Cluster analysis Dynamics Community structure
مقاله انگلیسی
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