Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: U.S. stock market interaction network as learned by the Boltzmann
  Machine   We study historical dynamics of joint equilibrium distribution of stock
returns in the U.S. stock market using the Boltzmann distribution model being
parametrized by external fields and pairwise couplings. Within Boltzmann
learning framework for statistical inference, we analyze historical behavior of
the parameters inferred using exact and approximate learning algorithms. Since
the model and inference methods require use of binary variables, effect of this
mapping of continuous returns to the discrete domain is studied. The presented
analysis shows that binarization preserves market correlation structure.
Properties of distributions of external fields and couplings as well as
industry sector clustering structure are studied for different historical dates
and moving window sizes. We found that a heavy positive tail in the
distribution of couplings is responsible for the sparse market clustering
structure. We also show that discrepancies between the model parameters might
be used as a precursor of financial instabilities.

18
The categories of this paper are: econ
21
The categories of this paper are: adap-org
10
The categories of this paper are: q-bio
25
The categories of this paper are: patt-sol
37
The categories of this paper are: supr-con
8
The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs
2
The categories of this paper are: math
34
The categories of this paper are: chem-ph
36
The categories of this paper are: cmp-lg
0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
13
The categories of this paper are: quant-ph
12
The categories of this paper are: nucl-th
27
The categories of this paper are: comp-gas