Related papers: Group dynamics of the Japanese market
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$, we generalize the concept of minimum spanning tree (MST) by introducing a family of $q$-dependent minimum spanning trees ($q$MST) that are…
In this paper, we study the connection between the companies in the Swedish capital market. We consider 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Apart from the role the clustering coefficient plays in the definition of the small-world phenomena, it also has great relevance for practical problems involving networked dynamical systems. To study the impact of the clustering coefficient…
The primary objective of this study was to examine the impact of the US sovereign credit rating downgrade on its equity market. Utilizing the event study methodology, a sample of three most capitalized listed companies -- Microsoft, Apple,…
Network analysis techniques remain rarely used for understanding international management strategies. Our paper highlights their value as research tool in this field of social science using a large set of micro-data (20,000) to investigate…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
Starting from the Pearson Correlation Matrix of stock returns and from the desire to obtain a reduced number of parameters relevant for the dynamics of a financial market, we propose to take the idea of a sectorial matrix, which would have…
We consider a family of local search algorithms for the minimum-weight spanning tree, indexed by a parameter $\rho$. One step of the local search corresponds to replacing a connected induced subgraph of the current candidate graph whose…
The stock market has been established since the 13th century, but in the current epoch of time, it is substantially more practicable to anticipate the stock market than it was at any other point in time due to the tools and data that are…
One of the most important features of capital markets as an adaptive complex networks is their collective behavior. In this paper, we have analyzed the banking sectors of 4 world stock markets,which composed of emerging and matures ones. By…