“School of Particles”
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| Paper IPM / Particles / 15039 |
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Extraction of interaction networks from multi-variate time-series is one of the topics of broad interest in complex systems. Although this method has a wide range of applications, most of the previous analyses have focused on the pairwise relations. Here we establish the potential of such a method to elicit aggregated behavior of the system by making a connection with the concepts from percolation theory. We study the dynamical interaction networks of a financial market extracted from the correlation network of indices, and build a weighted network. In correspondence with the percolation model, we find that away from financial crises the interaction network behaves like a critical random network of Erdös-Rényi, while close to a financial crisis, our model deviates from the critical random network and behaves differently at different size scales. We perform further analysis to clarify that our observation is not a simple consequence of the growth in correlations over the crises.
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