Dynamic communities in multichannel data: an application to the foreign exchange market during the 2007-2008 credit crisis.
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the funct...
| Main Authors: | , , , , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2009
|