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Structure and dynamics of financial networks by feature ranking method.

ABSTRACT: Much research has been done on time series of financial market in last two decades using linear and non-linear correlation of the returns of stocks. In this paper, we design a method of network reconstruction for the financial market by using the insights from machine learning tool. To do so, we analyze the time series of financial indices of S&P 500 around some financial crises from 1998 to 2012 by using feature ranking approach where we use the returns of stocks in a certain day to predict the feature ranks of the next day. We use two different feature ranking approaches-Random Forest and Gradient Boosting-to rank the importance of each node for predicting the returns of each other node, which produces the feature ranking matrix. To construct threshold network, we assign a threshold which is equal to mean of the feature ranking matrix. The dynamics of network topology in threshold networks constructed by new approach can identify the financial crises covered by the monitored time series. We observe that the most influential companies during global financial crisis were in the sector of energy and financial services while during European debt crisis, the companies are in the communication services. The Shannon entropy is calculated from the feature ranking which is seen to increase over time before market crash. The rise of entropy implies the influences of stocks to each other are becoming equal, can be used as a precursor of market crash. The technique of feature ranking can be an alternative way to infer more accurate network structure for financial market than existing methods, can be used for the development of the market.

SUBMITTER: Rakib MI

PROVIDER: S-EPMC8413283 | biostudies-literature |

REPOSITORIES: biostudies-literature

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Project description:BackgroundAccurate protein loop structure models are important to understand functions of many proteins. Identifying the native or near-native models by distinguishing them from the misfolded ones is a critical step in protein loop structure prediction.ResultsWe have developed a Pareto Optimal Consensus (POC) method, which is a consensus model ranking approach to integrate multiple knowledge- or physics-based scoring functions. The procedure of identifying the models of best quality in a model set includes: 1) identifying the models at the Pareto optimal front with respect to a set of scoring functions, and 2) ranking them based on the fuzzy dominance relationship to the rest of the models. We apply the POC method to a large number of decoy sets for loops of 4- to 12-residue in length using a functional space composed of several carefully-selected scoring functions: Rosetta, DOPE, DDFIRE, OPLS-AA, and a triplet backbone dihedral potential developed in our lab. Our computational results show that the sets of Pareto-optimal decoys, which are typically composed of approximately 20% or less of the overall decoys in a set, have a good coverage of the best or near-best decoys in more than 99% of the loop targets. Compared to the individual scoring function yielding best selection accuracy in the decoy sets, the POC method yields 23%, 37%, and 64% less false positives in distinguishing the native conformation, indentifying a near-native model (RMSD < 0.5A from the native) as top-ranked, and selecting at least one near-native model in the top-5-ranked models, respectively. Similar effectiveness of the POC method is also found in the decoy sets from membrane protein loops. Furthermore, the POC method outperforms the other popularly-used consensus strategies in model ranking, such as rank-by-number, rank-by-rank, rank-by-vote, and regression-based methods.ConclusionsBy integrating multiple knowledge- and physics-based scoring functions based on Pareto optimality and fuzzy dominance, the POC method is effective in distinguishing the best loop models from the other ones within a loop model set.

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Structure and dynamics of financial networks by feature ranking method.

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