Related papers: Dynamical Clustering of Exchange Rates
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally…
Understanding the structure of communities in a network has a great importance in the economic analysis. Communities are indeed characterized by specific properties, that are different from those of both the individual node and the whole…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…
Most complex networks serve as conduits for various dynamical processes, ranging from mass transfer by chemical reactions in the cell to packet transfer on the Internet. We collected data on the time dependent activity of five natural and…
This paper studies the statistical properties of the web of import-export relationships among world countries using a weighted-network approach. We analyze how the distributions of the most important network statistics measuring…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
This study investigates whether Topological Data Analysis (TDA) can provide additional insights beyond traditional statistical methods in clustering currency behaviours. We focus on the foreign exchange (FX) market, which is a complex…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that…
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…
Accurate prediction of price behavior in the foreign exchange market is crucial. This paper proposes a novel approach that leverages technical indicators and deep neural networks. The proposed architecture consists of a Long Short-Term…
Alliances and conflicts in social, political and economic relations can be represented by positive and negative edges in signed networks. A cycle is said to be positive if the product of its edge signs is positive, otherwise it is negative.…