Related papers: The effect of a market factor on information flow …
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
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…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
As is widely known, the stock market is a complex system in which a multitude of factors influence the performance of individual stocks and the market as a whole. One method for comprehending -- and potentially predicting -- stock market…
We introduce a technique that is capable to filter out information from complex systems, by mapping them to networks, and extracting a subgraph with the strongest links. This idea is based on the Minimum Spanning Tree, and it can be applied…
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and…
In this article, we study the Euclidean minimum spanning tree problem in an imprecise setup. The problem is known as the \emph{Minimum Spanning Tree Problem with Neighborhoods} in the literature. We study the problem where the neighborhoods…
We provide the first asynchronous distributed algorithms to compute broadcast and minimum spanning tree with $o(m)$ bits of communication, in a graph with $n$ nodes and $m$ edges. For decades, it was believed that $\Omega(m)$ bits of…
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments…
Financial crises often occur without warning, yet markets leading up to these events display increasing volatility and complex interdependencies across multiple sectors. This study proposes a novel approach to predicting market crises by…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
Motivated by applications in clustering and synthetic data generation, we consider the problem of releasing a minimum spanning tree (MST) under edge-weight differential privacy constraints where a graph topology $G=(V,E)$ with $n$ vertices…
The Minimum Weight Steiner Tree (MST) is an important combinatorial optimization problem over networks that has applications in a wide range of fields. Here we discuss a general technique to translate the imposed global connectivity…
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…
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 original research question here is given by marketers in general, i.e., how to explain the changes in the desired timescale of the market. Tangled String, a sequence visualization tool based on the metaphor where contexts in a sequence…
This paper explores the estimation and inference of the minimum spanning set (MSS), the smallest subset of risky assets that spans the mean-variance efficient frontier of the full asset set. We establish identification conditions for the…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…