Title variants
Languages of publication
Abstracts
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.
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
Year
Volume
Issue
Pages
863-867
Physical description
Dates
published
2015-03
received
2014-03-11
(unknown)
2014-11-30
Contributors
author
- Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv127n338kz