Do you want to publish a course? Click here

Visualizing a large-scale structure of production network by N-body simulation

344   0   0.0 ( 0 )
 Added by Hideaki Aoyama
 Publication date 2009
  fields Financial
and research's language is English




Ask ChatGPT about the research

Our recent study of a nation-wide production network uncovered a community structure, namely how firms are connected by supplier-customer links into tightly-knit groups with high density in intra-groups and with lower connectivity in inter-groups. Here we propose a method to visualize the community structure by a graph layout based on a physical analogy. The layout can be calculated in a practical computation-time and is possible to be accelerated by a special-purpose device of GRAPE (gravity pipeline) developed for astrophysical N-body simulation. We show that the method successfully identifies the communities in a hierarchical way by applying it to the manufacturing sector comprising tenth million nodes and a half million edges. In addition, we discuss several limitations of this method, and propose a possible way to avoid all those problems.



rate research

Read More

We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in the supply of credit affects firms as debtor, and failure of a firm influences banks as creditor. To quantify the dependency and influence between banks and firms, we propose a set of scores of banks and firms, which can be calculated by solving an eigenvalue problem determined by the weight of the credit network. We found that a few largest eigenvalues and corresponding eigenvectors are significant by using a null hypothesis of random bipartite graphs, and that the scores can quantitatively describe the stability or fragility of the credit network during the 25 years.
Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms production activities. In this paper we propose a new idea referred to as production copula; a copula is an analytic means for modeling dependence among variables. Such a production copula predicts value added yielded by firms with given capital and labor in a probabilistic way. It is thereby in sharp contrast to the production function where the output of firms is completely deterministic. We demonstrate empirical construction of a production copula using financial data of listed firms in Japan. Analysis of the data shows that there are significant correlations among their capital, labor and value added and confirms that the values added are too widely scattered to be represented by a production function. We employ four models for the production copula, that is, trivaria
In this study, we investigate the flow of money among bank accounts possessed by firms in a region by employing an exhaustive list of all the bank transfers in a regional bank in Japan, to clarify how the network of money flow is related to the economic activities of the firms. The network statistics and structures are examined and shown to be similar to those of a nationwide production network. Specifically, the bowtie analysis indicates what we refer to as a walnut structure with core and upstream/downstream components. To quantify the location of an individual account in the network, we used the Hodge decomposition method and found that the Hodge potential of the account has a significant correlation to its position in the bowtie structure as well as to its net flow of incoming and outgoing money and links, namely the net demand/supply of individual accounts. In addition, we used non-negative matrix factorization to identify important factors underlying the entire flow of money; it can be interpreted that these factors are associated with regional economic activities.One factor has a feature whereby the remittance source is localized to the largest city in the region, while the destination is scattered. The other factors correspond to the economic activities specific to different local places.This study serves as a basis for further investigation on the relationship between money flow and economic activities of firms.
Production in an economy is a set of firms activities as suppliers and customers; a firm buys goods from other firms, puts value added and sells products to others in a giant network of production. Empirical study is lacking despite the fact that the structure of the production network is important to understand and make models for many aspects of dynamics in economy. We study a nation-wide production network comprising a million firms and millions of supplier-customer links by using recent statistical methods developed in physics. We show in the empirical analysis scale-free degree distribution, disassortativity, correlation of degree to firm-size, and community structure having sectoral and regional modules. Since suppliers usually provide credit to their customers, who supply it to theirs in turn, each link is actually a creditor-debtor relationship. We also study chains of failures or bankruptcies that take place along those links in the network, and corresponding avalanche-size distribution.
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term component, modeled as a random walk, and a short-term component driven by a stationary VAR(1) process. Our model encompasses alternative approaches available in literature and can be readily estimated by means of Kalman filtering and expectation maximization. This feature makes it convenient when the cross-sectional dimension of the portfolio increases. By applying the model to a portfolio of Dow Jones stocks, we find that the long term component co-integrates with the market principal factor, while the short term one captures transient swings of the market associated with the idiosyncratic components and captures the correlation structure of returns. Using quantile regressions, we assess the significance of the contemporaneous and lagged explanatory power of sentiment on returns finding strong statistical evidence when extreme returns, especially negative ones, are considered. Finally, the lagged relation is exploited in a portfolio allocation exercise.
comments
Fetching comments Fetching comments
Sign in to be able to follow your search criteria
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا