R/corMat2PMFG.r

In zlfccnu/econophysics: Functions for econophysics

#' Planar Graph from the correlation matrix of financial time series
#' @param corMat a correlation matrix
#' @param outputFile a string as the name of output file
#' @param format the output file format for graph object
#' @param descending whether arrange the correlation value in descending order or not
#' @param weighted default is TRUE for the weighted one
#' @references  A Tool for Filtering Information in Complex Systems, PNAS
#' @return a igraph object or edge_list file in current directory
#' @export
corMat2PMFG=function(corMat,outputFile=NULL,descending=TRUE,format=c("edgelist","pajek","ncol","lgl","graphml","dimacs","gml","dot","leda"),weighted=TRUE){
  ## construct the sorted correlation data.frame
  N=dim(corMat)[1]
  L=N*(N-1)/2
  v1=rep(0,L)
  v2=rep(0,L)
  corValue=rep(0,L)
  ##CORE LOOP
  flag=1
  for(i in c(1:N)){
    j=i+1
    while(j<=N){
      v1[flag]=i
      v2[flag]=j
      corValue[flag]=corMat[i,j]
      flag=flag+1
      j=j+1
    }
  }
  ##GET THE DATAFRAME
  corSort=data.frame(v1,v2,corValue)
  if(isTRUE(descending)){
    corSort=corSort[order(corSort[,3],decreasing = TRUE),]
  }else{
    corSort=corSort[order(corSort[,3],decreasing = FALSE),]
  }
  
  PMFG=graph.empty(N,directed = FALSE)
  for(i in c(1:L)){
    if(ecount(PMFG)==(3*(N-2))){
      break
    }
    else{
      edgeToAdd=corSort[1:2][i,]
      PMFG=add.edges(PMFG,edgeToAdd)
      edgelist=get.edgelist(PMFG)-1
      if(!funcPlanarTest(edgelist,N)){## c++ code using BGL
        PMFG=delete.edges(PMFG,E(PMFG,P=edgeToAdd))
      }
    }
  }
  ### add the weight to the network
  DistMat = sqrt(2*(1- corMat)) %>% Matrix::Matrix(sparse = TRUE)
  PMFG_Adj = get.adjacency(PMFG,type = "both",sparse = TRUE) %>% Matrix::Matrix(sparse = TRUE)
  PMFG_Adj = PMFG_Adj*DistMat %>% Matrix::Matrix(sparse = TRUE)
  if(isTRUE(weighted)){
    PMFG = graph_from_adjacency_matrix(PMFG_Adj,weighted = weighted,diag = FALSE,mode = "upper")
  }else{
    PMFG = graph_from_adjacency_matrix(PMFG_Adj,weighted = NULL,mode = "upper")
  }
  ### output to file
  if(!is.null(outputFile)){
    format=match.arg(format)
    write.graph(PMFG,outputFile,format=format)
  }else{
    return(PMFG)
  }
}