Related papers: Group dynamics of the Japanese market
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order…
We use the exponential random graph models to understand the network structure and its generative process for the Japanese bipartite network of banks and firms. One of the well known and simple model of exponential random graph is the…
We develop a Bayesian state-space model for analyzing the dynamic evolution of income distributions using grouped income data. The model combines the generalized beta distribution of the second kind (GB2) with latent time-varying parameters…
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is…
We propose a graphical notation by which certain spectral properties of complex systems can be rewritten concisely and interpreted topologically. Applying this notation to analyze the stability of a class of networks of coupled dynamical…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
We investigate the possibility of global optimization-based overlapping community detection, using link community framework. We first show that partition density, the original quality function used in link community detection method, is not…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
Consider a large social network with possibly severe degree heterogeneity and mixed-memberships. We are interested in testing whether the network has only one community or there are more than one communities. The problem is known to be…
We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…
We study productivity dispersions across workers, firms and industrial sectors. Empirical study of the Japanese data shows that they all obey the Pareto law, and also that the Pareto index decreases with the level of aggregation. In order…
Financial networks based on Pearson correlations have been intensively studied. However, previous studies may have led to misleading and catastrophic results because of several critical shortcomings of the Pearson correlation. The local…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
Stock price prediction has been an important research theme both academically and practically. Various methods to predict stock prices have been studied until now. The feature that explains the stock price by a cross-section analysis is…
Spin models of markets inspired by physics models of magnetism, as the Ising model, allow for the study of the collective dynamics of interacting agents in a market. The number of possible states has been mostly limited to two (buy or sell)…
The competition between local and global driving forces is significant in a wide variety of naturally occurring branched networks. We have investigated the impact of a global minimization criterion versus a local one on the structure of…
Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a complete framework for grouping and a novel method to optimize model points. Model points are used to…