The effect of a market factor on information flow between stocks using minimal spanning tree

We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is capable of reducing the number of links to N-1. We determined that market factors carry important information value regarding information flow among stocks. Moreover, the information flow among stocks evidenced time-varying properties according to the changes in market status. In particular, we noted that the information flow increased dramatically during periods of market crises. Finally, we confirmed, via the MST method, that the information flow among stocks could be assessed effectively with the reduced linkage relationships among all links between stocks from the perspective of the overall market

The effect of spatially correlated noise on coherence resonance in a network of excitable cells

We study the effect of spatially correlated noise on coherence resonance (CR) in a Watts-Strogatz small-world network of Fitz Hugh-Nagumo neurons, where the noise correlation decays exponentially with distance between neurons. It is found that CR is considerably improved just by a small fraction of long-range connections for an intermediate coupling strength. For other coupling strengths, an abrupt change in CR occurs following the drastic fracture of the clustered structures in the network. Our study shows that spatially correlated noise plays a significant role in the phenomenon of CR through enforcing the clustering of the network.Comment: 11 pages, 4 figur

Information flow between composite stock index and individual stocks

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.Comment: 8 pages, 4 figure

Evidence of the importance of contact tracing in fighting COVID-19

OBJECTIVES We analyzed data to determine whether there are distinguishing characteristics depending on the success or failure of control for coronavirus disease 2019 (COVID-19) by country in the trend of the daily number of confirmed cases and the number of tests. METHODS We obtained the number of confirmed cases and tests per day for almost every country in the world from Our World in Data. The Pearson correlation between the two time series was calculated according to the time delay to analyze the relationship between the number of tests and the number of cases with a lag. RESULTS For each country, we obtained the time lag that makes the maximum correlation between the number of confirmed cases and the number of tests for COVID-19. It can be seen that countries whose time lag making maximum correlation lies in a special section between about 15 days and 20 days are generally been successful in controlling COVID-19. That section looks like a trench on the battlefield. CONCLUSIONS We have seen the possibility that the success in mitigating COVID-19 can be expressed as a simple indicator of the time lag of the correlation between confirmed cases and tests. This time lag indicator is presumably reflected by efforts to actively trace the infected persons