As individuals communicate, their exchanges form a dynamic network. We demonstrate, using time series analysis of communication in three online settings, that network structure alone can be highly revealing of the diversity and novelty of the information being communicated. Our approach uses both standard and novel network metrics to characterize how unexpected a network configuration is, and to capture a network's ability to conduct information. We find that networks with a higher conductance in link structure exhibit higher information entropy, while unexpected network configurations can be tied to information novelty. We use a simulation model to explain the observed correspondence between the evolution of a network's structure and the information it carries.
Prior work that has examined time-evolving network structure explicitly has shown that changes in a network's structure can be reflective of events and trends. In the Graphscope project @cite_8 , changes in community structure of email communication networks were tied to events within a company. @cite_4 showed that breaks in supreme court citation patterns corresponded to changes in the court's ideology. @cite_14 correlated time series of networks of traders trading in commodity futures contracts, with financial variables related to the trades, such as returns, volatility and duration. However, the notion of information entering into the market was implicit, in the sense that the prices and quantities of contracts traded reflected the information the traders held about the future value of the contract. In contrast, in this paper we explicitly analyze the information that is being directly communicated with each activation of an edge.
@cite_14 @cite_4 @cite_8
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Network theory has established itself as an appropriate tool for complex systems analysis and pattern recognition. In the context of spatiotemporal data analysis, correlation networks are used in the vast majority of works. However, the Pearson correlation coefficient captures only linear relationships and does not correctly capture recurrent events. This missed information is essential for temporal pattern recognition. In this work, we propose a chronological network construction process that is capable of capturing various events. Similar to the previous methods, we divide the area of study into grid cells and represent them by nodes. In our approach, links are established if two consecutive events occur in two different nodes. Our method is computationally efficient, adaptable to different time windows and can be applied to any spatiotemporal data set. As a proof-of-concept, we evaluated the proposed approach by constructing chronological networks from the MODIS dataset for fire events in the Amazon basin. We explore two data analytic approaches: one static and another temporal. The results show some activity patterns on the fire events and a displacement phenomenon over the year. The validity of the analyses in this application indicates that our data modeling approach is very promising for spatio-temporal data mining. Abstract Over the past years, the effect of massive information from the web on the financial market has increased. How to process and utilize such information attracts both researchers and portfolio managers. In this paper, financial information obtained daily from the web is treated as a time series and then associated with stock price volatilities. First, six research topics on financial time series are outlined, namely, analyses of stock price time series P , trading volume time series V , web information time series W , and relationship between P and V , P and W , as well as V and W . Second, a model connecting P and W based on the support vector regression (SVR) is examined as an example of the six research topics. Third, given that a typically successful way of computer-based natural language processing is through the conduct of keyword analysis, the novel finance-computer time series W is explicitly defined in terms of financial keywords and is used in the present paper as the topic of investigation. The relationship between P and W is modeled using SVR. Because during the pre-web era people cannot manually and efficiently process image information from the newspapers and sounds from the television and radio over a longer period of time (e.g., a year), they were unable to obtain the time series W . Therefore, it is the web that makes the research on the relationship between P and W in the meaning of quantity of W possible. Finally, experiments on the Shanghai and Shenzhen security markets revealed that the introduction of W helps improve model accuracies. As the web further develops, more and more ordinary people share their views on the web. The “long-tail” of massive financial information formed by these “grass roots” has a noticeable effect on the financial markets. In financial markets, those who quickly capture and interpret financial information have the potential to generate profits. With the use of the newly found model connecting P with W and fast decision making, financial market practitioners can be rewarded. textabstractForecasting financial time series using past observations has been a significant topic of interest. While temporal relationships in the data exist, they are difficult to analyze and predict accurately due to the non-linear trends and noise present in the series. We propose to learn these dependencies by a convolutional neural network. In particular the focus is on multivariate time series forecasting. Effectively, we use multiple financial time series as input in the neural network, thus conditioning the forecast of a time series x(t) on both its own history as well as that of a second (or third) time series y(t). Training a model on multiple stock series allows the network to exploit the correlation structure between these series so that the network can learn the market dynamics in shorter sequences of data. We show that long-term temporal dependencies in and between financial time series can be learned by means of a deep convolutional neural network based on the WaveNet model [2]. The network makes use of dilated convolutions applied to multiple time series so that the receptive field of the network is wide enough to learn both short and long-term dependencies. The architecture includes batch normalization and uses a 1 × k convolution with parametrized skip connections from the input time series as well as the time series we condition on, in this way learning long-term interdependencies in an efficient manner [1]. This improves the forecast, while at the same time limiting the requirement for a long historical price series and reducing the noise. Knowing the strong performance of CNNs on classification problems we show that they can be applied successfully to forecasting financial time series, without the need of large samples of data. We compare the performance of the WaveNet model to a state-of-the-art fully convolutional network (FCN), and an autoregressive model popular in econometrics and show that our model is much better able to learn important dependencies in between financial time series resulting in a more robust and accurate forecast. Determining interrelatedness structure of various entities from multiple time series data is of significant interest to many areas. Knowledge of such a structure can aid in identifying cause and effect relationships, clustering of similar entities, identification of representative elements and model reduction. The majority of existing results are based on correlation based indices which effectively assume a static relationship between the time series data and are not suitable for detecting interrelatedness when the time series are dynamically related or when the time series involve loops. In this paper, a methodology for identifying the interrelatedness structure of dynamically related time series data is presented that also allows for the presence of loops in the connectivity structure. A linear dynamic graph model is presented where it is assumed that each time series data is the sum of an independent stochastic noise source and a dynamically weighted sum of other time series data. A link is assumed to be present between two time series if the weight of a time series, which is a linear time-invariant filter, is nonzero in the formation of the other. Reconstruction of the link connectivity structure under various scenarios is considered. It is shown that when the linear dynamic graph is allowed to admit non-causal weights, then the links structure can be recovered with the possibility of identifying spurious connections. However, it is shown that the spurious links remain local, where, a spurious link is restricted to be within one hop of a true link. Furthermore, strategies for exact reconstruction of the link structure when the weights are restricted to be causal are developed. The main tools for determining the network topology are based on variations of Wiener filtering. A significant insight provided by the article is that, in the class of network models considered in the paper, the Wiener filter estimating a stochastic process based on other processes remains local in the sense that the Wiener filter utilizes only measurements local to the node being estimated.