Partial Mutual Information Analysis of Financial Networks

• Authors: P. Fiedor
• Languages of publication: EN

Abstracts

EN

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably leads to another assumption, namely that underlying interconnections within socio-economic systems, particularly financial markets, are nonlinear, which is shown to be true even in mainstream economic literature. Thus it is surprising to see that network analysis of financial markets is based on linear correlation and its derivatives. An analysis based on partial correlation is of particular interest as it leads to the vicinity of causality detection in time series analysis. In this paper we generalise the planar maximally filtered graphs and partial correlation planar graphs to incorporate nonlinearity using partial mutual information.

Keywords

EN

89.65.Gh; 89.75.-k; 05.45.-a

Discipline

• 05.45.-a: Nonlinear dynamics and chaos(see also section 45 Classical mechanics of discrete systems; for chaos in fluid dynamics, see 47.52.+j; for chaos in superconductivity, see 74.40.De)
• 89.75.-k: Complex systems(for complex chemical systems, see 82.40.Qt; for biological complexity, see 87.18.-h)
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Journal: Acta Physica Polonica A
• Year: 2015
• Volume: 127
• Issue: 3
• Pages: 863-867

Dates

published

2015-03

received

2014-03-11

(unknown)

2014-11-30

Contributors

author

P. Fiedor

• Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland

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Identifiers

DOI

10.12693/APhysPolA.127.863