Complex network-based time series analysis

✍ Scribed by Yue Yang; Huijie Yang

• Publisher: Elsevier Science
• Year: 2008
• Tongue: English
• Weight: 684 KB
• Volume: 387
• Category: Article
• ISSN: 0378-4371
• DOI: 10.1016/j.physa.2007.10.055

✦ Synopsis

Recent works show that complex network theory may be a powerful tool in time series analysis. We propose in this paper a reliable procedure for constructing complex networks from the correlation matrix of a time series. An original stock time series, the corresponding return series and its amplitude series are considered. The degree distribution of the original series can be well fitted with a power law, while that of the return series can be well fitted with a Gaussian function. The degree distribution of the amplitude series contains two asymmetric Gaussian branches. Reconstruction of networks from time series is a common problem in diverse research. The proposed strategy may be a reasonable solution to this problem.