Related papers: The effect of a market factor on information flow …
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…
In this paper, we study the form over the minimum spanning tree problem (MST) from which we will derive an intuitively generalized model and new methods with the upper bound of runtimes of logarithm. The new pattern we made has taken…
The minimal spanning tree (MST) algorithm is a graph-theoretical cluster-finding method. We previously applied it to gamma-ray bidimensional images, showing that it is quite sensitive in finding faint sources. Possible sources are…
Consider a tree network T, where each edge acts as an independent copy of a given channel M, and information is propagated from the root. For which T and M does the configuration obtained at level n of T typically contain significant…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of…
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those $N(N-1)/2$ correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the…
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in…
Minimum spanning trees (MSTs) provide a convenient representation of datasets in numerous pattern recognition activities. Moreover, they are relatively fast to compute. In this paper, we quantify the extent to which they are meaningful in…
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…
This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MST) framework. We analyze nonlinear dependencies among the…
We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree…
Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in explaining stock returns when the analysis is allowed to…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
We study the relation between the minimal spanning tree (MST) on many random points and the "near-minimal" tree which is optimal subject to the constraint that a proportion $\delta$ of its edges must be different from those of the MST.…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…