Related papers: Dynamical Clustering of Exchange Rates

Detecting the time evolution of the community structure of networks is crucial to identify major changes in the internal organization of many complex systems, which may undergo important endogenous or exogenous events. This analysis can be…

Exchange arrangements among different countries over the world are foundations of the world economy, which generally stand behind the daily economic evolution. As the first study of the world exchange arrangements web (WEAW), we built a…

We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are…

The continuous interest in the social network area contributes to the fast development of this field. The new possibilities of obtaining and storing data facilitate deeper analysis of the entire social network, extracted social groups and…

A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…

The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…

In this paper, we provide novel definitions of clustering coefficient for weighted and directed multilayer networks. We extend in the multilayer theoretical context the clustering coefficients proposed in the literature for weighted…

Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor…

A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the…

The era of information explosion had prompted the accumulation of a tremendous amount of time-series data, including stationary and non-stationary time-series data. State-of-the-art algorithms have achieved a decent performance in dealing…

We investigate a social system of agents faced with a binary choice. We assume there is a correct, or beneficial, outcome of this choice. Furthermore, we assume agents are influenced by others in making their decision, and that the agents…

In this paper, we investigate the problem of predicting the future volatility of Forex currency pairs using the deep learning techniques. We show step-by-step how to construct the deep-learning network by the guidance of the empirical…

Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…

The evolution of many dynamical systems that describe relationships or interactions between objects can be effectively modeled by temporal networks, which are typically represented as a sequence of static network snapshots. In this paper,…

In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…

We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate…

Dynamics of complex social systems has often been described in the framework of temporal networks, where links are considered to exist only at the moment of interaction between nodes. Such interaction patterns are not only driven by…

Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate…

Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…