英文标题：
《The multiplex dependency structure of financial markets》
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作者：
Nicol\\\'o Musmeci, Vincenzo Nicosia, Tomaso Aste, Tiziana Di Matteo,
  Vito Latora
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最新提交年份：
2016
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英文摘要：
  We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear, non-linear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.
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中文摘要：
本文提出了一种多重网络方法来同时研究复杂数据集中不同类型的依赖关系。特别地，我们考虑由四层组成的多重网络，分别对应于一组金融时间序列之间的线性、非线性、尾部和偏相关。我们使用标准的网络过滤程序在每一层上构造稀疏图，然后分析得到的多路网络的结构特性。对由金融数据构建的多元化的时间演化的研究揭示了网络内在多元化特性的重要变化，这种变化与金融压力的时期有关。我们观察到，一些特征对于多路复用结构是独特的，并且通过对对应于每个依赖性度量的单层网络的单独分析，这些特征是不可见的。
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分类信息：

一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Computer Science        计算机科学
二级分类：Computational Engineering, Finance, and Science        计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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