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Fluctuation scaling and covariance matrix of constituents’ flows on a bipartite graph.
- Source :
-
European Physical Journal B: Condensed Matter . Aug2010, Vol. 76 Issue 4, p529-535. 7p. 1 Black and White Photograph, 1 Diagram, 1 Chart, 2 Graphs, 1 Map. - Publication Year :
- 2010
-
Abstract
- We investigate an association between a power-law relationship of constituents’ flows (mean versus standard deviation) and their covariance matrix on a directed bipartite network. We propose a Poisson mixture model and a method to infer states of the constituents’ flows on such a bipartite network from empirical observation without a priori knowledge on the network structure. By using a proposed parameter estimation method with high frequency financial data we found that the scaling exponent and simultaneous cross-correlation matrix have a positive correspondence relationship. Consequently we conclude that the scaling exponent tends to be 1/2 in the case of desynchronous (specific dynamics is dominant), and to be 1 in the case of synchronous (common dynamics is dominant). [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14346028
- Volume :
- 76
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- European Physical Journal B: Condensed Matter
- Publication Type :
- Academic Journal
- Accession number :
- 53505362
- Full Text :
- https://doi.org/10.1140/epjb/e2010-00252-9