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arXiv 2017年

作者： Baltakys, Kȩstutis Kanniainen, Juho Emmert-Streib, Frank Laboratory of Industrial and Information Management Tampere University of Technology Finland Predictive Medicine and Data Analytics Lab Department of Signal Processing Tampere University of Technology Finland Institute of Biosciences and Medical Technology Tampere Finland

Multilayer networks are attracting growing attention in many fields, including finance. In this paper, we develop a new tractable procedure for multilayer aggregation based on statistical validation, which we apply to investor networks. Moreover, we propose two other improvements to their analysis: transaction bootstrapping and investor categorization. The aggregation procedure can be used to integrate security-wise and time-wise information about investor trading networks, but it is not limited to finance. In fact, it can be used for different applications, such as gene, transportation, and social networks, were they inferred or observable. Additionally, in the investor network inference, we use transaction bootstrapping for better statistical validation. Investor categorization allows for constant size networks and having more observations for each node, which is important in the inference especially for less liquid securities. Furthermore, we observe that the window size used for averaging has a substantial effect on the number of inferred relationships. We apply this procedure by analyzing a unique data set of Finnish shareholders during the period 2004-2009. We find that households in the capital have high centrality in investor networks, which, under the theory of information channels in investor networks suggests that they are well-informed investors. Copyright © 2017, The Authors. All rights reserved.

关键词： Multilayers

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Computational analysis of the structural properties of economic and financial networks

arXiv

引用

arXiv 2017年

作者： Emmert-Streib, Frank Musa, Aliyu Baltakys, Kestutis Kanniainen, Juho Tripathi, Shailesh Yli-Harja, Olli Jodlbauer, Herbert Dehmer, Matthias Predictive Medicine and Data Analytics Lab Department of Signal Processing Tampere University of Technology Finland Institute of Biosciences and Medical Technology Tampere Finland Industrial and Information Management Tampere University of Technology Tampere Finland Institute for Systems Biology Seattle United States Institute for Intelligent Production Faculty for Management University of Applied Sciences Upper Austria Steyr Campus Austria Department for Biomedical Computer Science and Mechatronics UMIT - The Health and Lifesciences University Hall in Tyrol Austria College of Computer and Control Engineering Nankai University Tianjin300350 China

In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial entities are crucial to understand and networks provide a natural framework for representing and studying such systems. In this paper, we are surveying the use of networks and network-based methods for studying economy related questions. We start with a brief overview of graph theory and basic definitions. Then we discuss descriptive network measures and network complexity measures for quantifying structural properties of economic networks. Finally, we discuss different network and tree structures as relevant for applications. Copyright © 2017, The Authors. All rights reserved.

关键词： Finance

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