Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network
AbstractThis article proposes a method to quantify the structure of a bipartite graph using a network entropy per link. The network entropy of a bipartite graph with random links is calculated both numerically and theoretically. As an application of the proposed method to analyze collective behavior, the affairs in which participants quote and trade in the foreign exchange market are quantified. The network entropy per link is found to correspond to the macroeconomic situation. A finite mixture of Gumbel distributions is used to fit the empirical distribution for the minimum values of network entropy per link in each week. The mixture of Gumbel distributions with parameter estimates by segmentation procedure is verified by the Kolmogorov--Smirnov test. The finite mixture of Gumbel distributions that extrapolate the empirical probability of extreme events has explanatory power at a statistically significant level.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1207.4860.
Date of creation: Jul 2012
Date of revision: Oct 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
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- Simone Alfarano & Thomas Lux & Mishael Milakovic, 2008. "The Small Core of the German Corporate Board Network," Kiel Working Papers 1446, Kiel Institute for the World Economy.
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