Related papers: Group dynamics of the Japanese market
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
We introduce a toy probabilistic model to analyze job-matching processes in recent Japanese labor markets for university graduates by means of statistical physics. We show that the aggregation probability of each company is rewritten by…
Correlations among stock returns during volatile markets differ substantially compared to those from quieter markets. During times of financial crisis, it has been observed that traditional dependency in global markets breaks down. However,…
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect…
In applications of group testing in networks, e.g. identifying individuals who are infected by a disease spread over a network, exploiting correlation among network nodes provides fundamental opportunities in reducing the number of tests…
The main purpose of the paper is to develop an approach to evaluation or estimation of the spanning tree congestion of planar graphs. This approach is used to evaluate the spanning tree congestion of triangular grids.
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers…
Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…
The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…
To investigate the actual phenomena of transport on a complex network, we analysed empirical data for an inter-firm trading network, which consists of about one million Japanese firms and the sales of these firms (a sale corresponds to the…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant…
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market…
The study aims to explore the strength of causal relationship between stock price search interest and real stock market outcomes on worldwide equity market indices. Such a phenomenon could also be mediated by investor behavior and extent of…
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools such as insurance instruments on the underlying wellbeing…
Stock price prediction is challenging due to global economic instability, high volatility, and the complexity of financial markets. Hence, this study compared several machine learning algorithms for stock market prediction and further…
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…