Related papers: Information flow between stock indices
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
This paper considers the problem of minimum cost communication of correlated sources over a network with multiple sinks, which consists of distributed source coding followed by routing. We introduce a new routing paradigm called dispersive…
Stock market movements are influenced by public and private information shared through news articles, company reports, and social media discussions. Analyzing these vast sources of data can give market participants an edge to make profit.…
Information flow provides a natural measure for the causal interaction between dynamical events. This study extends our previous rigorous formalism of componentwise information flow to the bulk information flow between two complex…
Osborne and Dredze (2014) reported that Twitter was the timeliest social-media source of breaking news, trailing only newswire. Twelve years on, the platform landscape has shifted - Google+ is gone, X replaced Twitter, Bluesky and Threads…
We show that in any graph, the average length of a flow path in an electrical flow between the endpoints of a random edge is $O(\log^2 n)$. This is a consequence of a more general result which shows that the spectral norm of the entrywise…
Social networks play a fundamental role in the diffusion of information. However, there are two different ways of how information reaches a person in a network. Information reaches us through connections in our social networks, as well as…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources of predictors and expose the value of attention and…
The disruption of coupling between brain areas has been suggested as the mechanism underlying loss of consciousness in anesthesia. This hypothesis has been tested previously by measuring the information transfer between brain areas, and by…
Applying any strategy requires some knowledge about the past state of the system. Unfortunately in the case of economy collecting information is a difficult, expensive and time consuming process. Therefore the information about the system…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
We analyze the influence and interactions of 60 largest world banks for 195 world countries using the reduced Google matrix algorithm for the English Wikipedia network with 5 416 537 articles. While the top asset rank positions are taken by…
The interconnected European Electricity Markets see considerable cross-border trade between different countries. In conjunction with the structure and technical characteristics of the power grid and its operating rules, the corresponding…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…