Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis

Understand

We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities.

• We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes without having to track entire communities.
• As an example, we consider a foreign exchange market network in which each node represents an exchange rate and each edge represents a time-dependent correlation between the rates.
• We study the period 2005-2008, which includes the recent credit and liquidity crisis.