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DTSTAMP:20261020T161626Z
LAST-MODIFIED:20140212T143248Z
DTSTART:20140224T180000Z
DTEND:20140224T190000Z
UID:event1244@bu.edu
URL:http://physics.bu.edu/internal/events/show/1244
SUMMARY: Statistically-Validated Networks
DESCRIPTION:Featuring Chester Curme\n\nPart of the Preliminary Oral Exam.\n
	\nExamining Committee:\n\nGene Stanley \nIrena Vodenska\nShyam Erramilli\nR
	obert Carey\n\nAbstract:\n\nMethods from statistical physics and network sc
	ience have been applied with varying degrees of success to the study of fin
	ancial markets. Analyses of correlation-based networks of equity returns ha
	ve been particularly fruitful. Such studies have revealed a nested structur
	e in financial markets\, in which stock returns are organized in groups of 
	like economic activity—such as technology\, services\, utilities\, or ene
	rgy—that exhibit higher values of average pair correlation. Although much
	 attention has been devoted to the study of synchronous correlation network
	s\, comparatively few results have been obtained for networks of lagged cor
	relations. This is in part because the various methods of constructing sync
	hronous correlation networks do not readily extend to lagged correlation ne
	tworks. We introduce a numerical method to statistically validate links in 
	correlation-based networks\, and employ our method to study lagged correlat
	ion networks of equity returns in financial markets. In an analysis of intr
	aday transaction data from the periods 2002--2003 and 2011--2012\, we find 
	a striking growth in the networks as we increase the frequency with which w
	e sample returns. We compute how the number of validated links and the magn
	itude of correlations change with increasing sampling frequency\, and compa
	re the results between the two data sets. Finally\, we compare topological 
	properties of the directed correlation-based networks from the two periods 
	using the in-degree and out-degree distributions and an analysis of three-n
	ode motifs. Our analysis suggests a growth in both the efficiency and insta
	bility of financial markets over the past decade.\n\n![Chester](/resources/
	event-image/1244/a3f5860_small)
LOCATION:PRB 595\, 3 Cummington Mall\, 02215
STATUS:CONFIRMED
CLASS:PUBLIC
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