In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at...

Consider a bipartite quantum system with at least one of its two components being itself a composite system. By tracing over part of one (or both) of these two subsystems it is possible to obtain a reduced (separable) state that exhibits quantum correlations even if the original state of the...

The analysis of dynamics in traffic flow is an important step to achieve advanced traffic management and control in Intelligent Transportation System (ITS). Complexity and periodicity are definitely two fundamental properties in traffic dynamics. In this study, we first measure the complexity of...

Analytical arguments are used to describe the behavior of the average velocity in the problem of an ensemble of particles bouncing a heavy and periodically moving platform. The dynamics of the system is described by using a two-dimensional mapping for the variables’ velocity and discrete time...

Community structure is an important feature in the study of complex networks. It is because nodes of the same community may have similar properties. In this paper we extend two popular community detection methods to partition online social networks. In our extended methods, the profile...

It is by now well established that the agents change from extreme behavior to confusion when the situation changed from easy time to depression in the evolutionary minority game. However in this letter we explore the dynamics of evolving population with negative values of the reward, and...

Random Matrix Theory (RMT) and the decomposition of correlation matrix method are employed to analyze spatial structure of stocks interactions and collective behavior in the Shanghai and Shenzhen stock markets in China. The result shows that there exists prominent sector structures, with...

Collective behaviors taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find...

This paper develops a method to characterize the dynamic behavior of statistically dependent returns of assets via a scenario set. The proposed method uses heteroskedastic time series to model serial correlations of returns, as well as Cholesky decomposition to generate the set of scenarios such...

We analyze protein–protein interaction networks for six different species under the framework of random matrix theory. Nearest neighbor spacing distribution of the eigenvalues of adjacency matrices of the largest connected part of these networks emulate universal Gaussian orthogonal statistics...