arXiv subjects

K. Kaski

Publications and source records attributed to K. Kaski.

28 records · Page 2Linked to original sources

arXiv2003

Clustering and information in correlation based financial networks

Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no edges where the vertices correspond to stocks. Then, one by one, we insert edges between the vertices according to the rank of their correlation strength, resulting in a network called asset graph. We study its properties, such as topologically different growth types, number and size of clusters and clustering coefficient. These properties, calculated from empirical data, are compared against those of a random graph. The growth of the graph can be classified according to the topological role of the newly inserted edge. We find that the type of growth which is responsible for creating cycles in the graph sets in much earlier for the empirical asset graph than for the random graph, and thus reflects the high degree of networking present in the market. We also find the number of clusters in the random graph to be one order of magnitude higher than for the asset graph. At a critical threshold, the random graph undergoes a radical change in topology related to percolation transition and forms a single giant cluster, a phenomenon which is not observed for the asset graph. Differences in mean clustering coefficient lead us to conclude that most information is contained roughly within 10% of the edges.

cond-mat.stat-mech↗

arXiv2003

Asset trees and asset graphs in financial markets

This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the new modified methodology does not, in general, lead to a tree but a graph, or several graphs that need not be inter-connected. The asset tree, due to the minimum spanning tree criterion, is forced to ``accept'' edge lengths that are far less optimal (longer) than the asset graph, thus resulting in higher overall length for the tree. The same criterion also causes asset trees to be more fragile in structure when measured by the single-step survival ratio. Over longer time periods, in the beginning the asset graph decays more slowly than the asset tree, but in the long-run the situation is reversed. The vertex degree distributions indicate that the possible scale free behavior of the asset graph is not as evident as it is in the case of the asset tree.

cond-mat.stat-mech↗

arXiv2003

Dynamics of market correlations: Taxonomy and portfolio analysis

The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks and the distance between them is a unique function of the corresponding element of the correlation matrix. By using the concept of a central vertex, chosen as the most strongly connected node of the tree, an important characteristic is defined by the mean occupation layer (MOL). During crashes the strong global correlation in the market manifests itself by a low value of MOL. The tree seems to have a scale free structure where the scaling exponent of the degree distribution is different for `business as usual' and `crash' periods. The basic structure of the tree topology is very robust with respect to time. We also point out that the diversification aspect of portfolio optimization results in the fact that the assets of the classic Markowitz portfolio are always located on the outer leaves of the tree. Technical aspects like the window size dependence of the investigated quantities are also discussed.

cond-mat.stat-mech↗

arXiv2002

Microscopic Method for Dislocation Tracking

We show that a microscopic definition of crystal defect, based on the effective mean single-particle potential energy, makes it possible to detect and visualize various types of local and extended crystal defects and develop an effective algorithm for tracking their time evolution.

cond-mat.mtrl-sci↗

arXiv2002

Dynamic asset trees and Black Monday

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the `central node'. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.

cond-mat.stat-mech↗

arXiv2002

Dynamic asset trees and portfolio analysis

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset tree we characterize it by its normalized length and by the mean occupation layer, as measured from an appropriately chosen center. We show how the tree evolves over time, and how it shrinks particularly strongly during a stock market crisis. We then demonstrate that the assets of the optimal Markowitz portfolio lie practically at all times on the outskirts of the tree. We also show that the normalized tree length and the investment diversification potential are very strongly correlated.

cond-mat.stat-mech↗

arXiv2002

Time dependent cross correlations between different stock returns: A directed network of influence

We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation is at nonzero time shift indicating directions of influence between the companies. Due to the weakness of the effect and the shortness of the characteristic time (in the order of a few minutes) the effect is compatible with market efficiency. The interaction of companies defines a directed network of influence.

cond-mat.stat-mech↗

arXiv1994

Simulations of Solid-on-Solid Models of Spreading of Viscous Droplets

We have studied the dynamics of spreading of viscous non-volatile fluids on surfaces by MC simulations of SOS models. We have concentrated on the complete wetting regime, with surface diffusion barriers neglected for simplicity. First, we have performed simulations for the standard SOS model. Formation of a single precursor layer, and a density profile with a spherical cap shaped center surrounded by Gaussian tails can be reproduced with this model. Dynamical layering (DL), however, only occurs with a very strongly attractive van der Waals type of substrate potential. To more realistically describe the spreading of viscous liquid droplets, we introduce a modified SOS model. In the new model, tendency for DL and the effect of the surface potential are in part embedded into the dynamics of the model. This allows a relatively simple description of the spreading under different conditions, with a temperature like parameter which strongly influences the droplet morphologies. Both rounded droplet shapes and DL can easily be reproduced with the model. Furthermore, the precursor width increases proportional to the square root of time, in accordance with experimental observations. PACS: 68.10.Gw, 05.70.Ln, 61.20.Ja.

cond-mat↗

arXiv1994

Roughening of the Cu(110) Surface

The structure of the Cu(110) surface is studied at high temperatures using a combination of lattice-gas Monte Carlo and molecular dynamics methods with identical many-atom interactions derived from the effective medium theory. The anisotropic six-vertex model is used in the interpretation of the lattice-gas results. We find a clear roughening transition around T_R=1000K and T_R/T_M=0.81. Molecular dynamics reveals the clustering of surface defects as the atomistic mechanism of the transition and allows us to estimate characteristic time scales. For the system of size 50x50, the time scale of the local roughening at 1150 K of an initially smooth surface is of the order of 100 ps.

cond-mat↗

arXiv1993

Morphological Changes of Small Viscous Droplets under Spreading

Dynamics of spreading of viscous non - volatile fluid droplets on surfaces is modelled using a solid - on - solid model, which is studied with Monte Carlo simulations. Tendency for dynamical layering and surface attraction are in part embedded into the effective dynamics of the model. This allows a description of the spreading process with a single parameter, which strongly influences the morphology of the droplets. The results qualitatively reproduce many experimentally observed density profiles for polymeric fluids, including rounded droplet shapes, and dynamical layering. PACS numbers: 68.10Gw, 05.70.Ln, 61.20.Ja.

cond-mat↗