The Backbone of the Financial Interaction Network Using a Maximum Entropy Distribution

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dc.contributor.authorValle, Mauricio A.
dc.contributor.authorUrbina, Felipe
dc.date.accessioned2022-11-16T13:58:14Z
dc.date.available2022-11-16T13:58:14Z
dc.date.issued2022-10-19
dc.description.abstractWe modeled the stocks of the financial system as a set of many interacting like spins derived from binary daily returns. From the empirical observation of these returns, we used a Boltzmann machine to infer a distribution of states equivalent to a maximum entropy distribution. This model describes the interaction couplings between each stock pair in the system, which can be considered a complete network with N(N-1)/2 couplings. We then engage in a coupling removal process to find a critical graph that can describe the observed states of the system with the minimum number of edges. We interpret the critical graph as the backbone of the system, and it allows us to evaluate the importance of markets in their relation to others in the system. We also found that the structure of this critical graph is highly variable over time and appears to be dependent on the level of entropy of the system.es
dc.identifier.citationValle, M. A., Urbina, F. The backbone of the financial interaction network using a maximum entropy distribution Advances in Complex Systems. DOI:10.1142/S0219525922500060.es
dc.identifier.issn1793-6802
dc.identifier.orcidhttps://orcid.org/0000-0003-1362-2776es
dc.identifier.orcidhttps://orcid.org/0000-0003-2640-7346es
dc.identifier.orcidhttps://doi.org/10.1142/S0219525922500060
dc.identifier.urihttp://hdl.handle.net/20.500.12254/2610
dc.language.isoenes
dc.publisherWorld Scientific Publishing Companyes
dc.relation.ispartofseriesAdvances in Complex Systems;Vol.25 No.4 (2022)
dc.rightsAtribución-NoComercial-CompartirIgual 3.0 Chile (CC BY-NC-SA 3.0 CL)
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/cl/
dc.subject.otherPairwise Ising modeles
dc.subject.otherFinancial networkes
dc.subject.otherTransitiones
dc.subject.otherBoltzmann learninges
dc.subject.otherBoltzmann machinees
dc.subject.otherMaximum entropy principlees
dc.titleThe Backbone of the Financial Interaction Network Using a Maximum Entropy Distributiones
dc.typeArtículoes
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