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We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
Stochastic Dominance (SD) theory provides a rigorous framework for selecting superior assets tailored to the asset allocation needs of investors with varying risk preferences (i.e., risk-averse, risk-seeking, and risk-neutral). However,…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
The recent quantitative approaches for studing several aspects of urban life and infrastructure have shown that scale properties allow to understand many features of urban infrastructure and of human activity in cities. In this work, an…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
Complex networks can model the structure and dynamics of different types of systems. It has been shown that they are characterized by a set of measures. In this work, we evaluate the variability of complex networks measures face to…
In many real complex networks, the fractal and self-similarity properties have been found. The fractal dimension is a useful method to describe fractal property of complex networks. Fractal analysis is inadequate if only taking one fractal…
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information…
Many social, technological and biological interactions involve network relationships whose outcome intimately depends on the structure of the network and on the strengths of the connections. Yet, although much information is now available…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on "Partition Decoupled Null Models,'' a new class of null models that…
Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering…