An Attempt to Observe Economy Globalization: The Cross Correlation Distance Evolution of the Top 19 Gdp's

Miśkiewicz, Janusz; Ausloos, Marcel

doi:10.1142/s0129183106008480

Cited by 26 publications

(25 citation statements)

References 13 publications

(2 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…9 In particular, Onnela et al (2003a,b,c), used MSTs extensively to study the dynamics of cross correlations during market crashes, while many others used clustering techniques based on the MST to discover different sectors in a stock market. 10 At a higher level, the MST have been used to visualize how the interdependences of the European economies are evolving (Gligor and Ausloos, 2007;Gilmore et al, 2008), and how global markets are linked to each other (Miśkiewicz and Ausloos, 2006;Coelho et al, 2007a;Eryigit and Eryigit, 2009). …”

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2012

View full text Add to dashboard Cite

The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years acrossthe-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods:

show abstract

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2012

View full text Add to dashboard Cite

show abstract

“…In particular, Onnela et al (2003a,b,c), used MSTs extensively to study the dynamics of cross correlations during market crashes, while many others used clustering techniques based on the MST to discover different sectors in a stock market (Onnela et al, 2004;Bonanno et al, 2004;Boginski et al, 2005;Tumminello et al, 2007;Coelho et al, 2007b;Jung et al, 2008). At a higher level, the MST have been used to visualize how the interdependences of the European economies are evolving (Gligor and Ausloos, 2007;Gilmore et al, 2008), and how global markets are linked to each other (Miśkiewicz and Ausloos, 2006;Coelho et al, 2007a;Eryigit and Eryigit, 2009).…”

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2011

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: Terms of use: Documents in

show abstract

“…Consider the nodes to be the first (in time) 15 The yearly fluctuations of these four variables are easily calculated and their auto-and cross-correlation matrices easily obtained; see e.g. a discussion for GDP in [12,13] and more detail elsewhere [14]. Essentially, the correlations can be calculated for a time window of given size moving along the time axis; these are used for getting the statistical distances among countries, e.g.…”

Section: Illustrationmentioning

confidence: 99%

Cluster Expansion Method for Evolving Weighted Networks Having Vector-Like Nodes

Ausloos

Gligor²

2008

Acta Phys. Pol. A

Self Cite

View full text Add to dashboard Cite

The cluster variation method known in statistical mechanics and condensed matter is revived for weighted bipartite networks. The decomposition (or expansion) of a Hamiltonian through a finite number of components, whence serving to define variable clusters, is recalled. As an illustration the network built from data representing correlations between (4) macroeconomic features, i.e. the so-called vector components, of 15 EU countries, as (function) nodes, is discussed. We show that statistical physics principles, like the maximum entropy criterion points to clusters, here in a (4) variable phase space: Gross Domestic Product, Final Consumption Expenditure, Gross Capital Formation and Net Exports. It is observed that the maximum entropy corresponds to a cluster which does not explicitly include the Gross Domestic Product but only the other (3) "axes", i.e. consumption, investment and trade components. On the other hand, the minimal entropy clustering scheme is obtained from a coupling necessarily including Gross Domestic Product and Final Consumption Expenditure. The results confirm intuitive economic theory and practice expectations at least as regards geographical connexions. The technique can of course be applied to many other cases in the physics of socio-economy networks.

show abstract

An Attempt to Observe Economy Globalization: The Cross Correlation Distance Evolution of the Top 19 Gdp's

Cited by 26 publications

References 13 publications

The Japanese Economy in Crises: A Time Series Segmentation Study

The Japanese Economy in Crises: A Time Series Segmentation Study

The Japanese Economy in Crises: A Time Series Segmentation Study

Cluster Expansion Method for Evolving Weighted Networks Having Vector-Like Nodes

Contact Info

Product

Resources

About