Related papers: Singularity strength based characterization of fin…
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…
The benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available…
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
When analyzing interaction networks, it is common to interpret the amount of interaction between two nodes as the strength of their relationship. We argue that this interpretation may not be appropriate, since the interaction between a pair…
Numerical analysis of data from international trade and ecological networks has shown that the non-linear fitness-complexity metric is the best candidate to rank nodes by importance in bipartite networks that exhibit a nested structure.…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.…
In this work, water distribution systems are regarded as large sparse planar graphs with complex network characteristics and the relationship between important topological features of the network (i.e. structural robustness and loop…
The percolation properties of clustered networks are analyzed in detail. In the case of weak clustering, we present an analytical approach that allows to find the critical threshold and the size of the giant component. Numerical simulations…
The statistical tools of Complex Network Analysis are of great use to understand salient properties of complex systems, may these be natural or pertaining human engineered infrastructures. One of these that is receiving growing attention…
Pinning control on complex dynamical networks has emerged as a very important topic in recent trends of control theory due to the extensive study of collective coupled behaviors and their role in physics, engineering and biology. In…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
A complex network approach on a rough fracture is developed. In this manner, some hidden metric spaces (similarity measurements) between apertures profiles are set up and a general evolutionary network in two directions (in parallel and…
The recent high level of interest in weighted complex networks gives rise to a need to develop new measures and to generalize existing ones to take the weights of links into account. Here we focus on various generalizations of the…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…