Fluctuation scaling and covariance matrix of constituents’ flows on a bipartite graph
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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).
Journal
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- The European Physical Journal B
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The European Physical Journal B 76 (4), 529-535, 2010-08
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Details 詳細情報について
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- CRID
- 1050001202178116992
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- NII Article ID
- 120002576694
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- NII Book ID
- AA12316710
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- ISSN
- 14346028
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- HANDLE
- 2433/130801
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- Text Lang
- en
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- Article Type
- journal article
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- Data Source
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- IRDB
- CiNii Articles