Related papers: Measuring capital market efficiency: Global and lo…
The global balance is a well-known indicator of the behavior of a signed network. Recent literature has introduced the concept of local balance as a measure of the contribution of a single node to the overall balance of the network. In the…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
With the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation…
This paper develops a method for estimating housing production functions when builders choose capital after observing local conditions that are unobserved by the econometrician. Because observed capital variation reflects both technological…
We propose a multilevel Monte-Carlo scheme, applicable to local actions, which is expected to reduce statistical errors on correlation functions. We give general arguments to show how the efficiency and parameters of the algorithm are…
In this paper we use Clustering Method to understand whether stock market volatility can be predicted at all, and if so, when it can be predicted. The exercise has been performed for the Indian stock market on daily data for two years. For…
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both…
Labor productivity in Turkey, Spain, Belgium, Austria, Switzerland, and New Zealand has been analyzed and modeled. These counties extend the previously analyzed set of the US, UK, Japan, France, Italy, and Canada. Modelling is based on the…
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
Modeling cross-sectional correlations between thousands of stocks, across countries and industries, can be challenging. In this paper, we demonstrate the advantages of using Hierarchical Principal Component Analysis (HPCA) over the classic…
This article expands Milton Friedman's spending matrix to analyse 'spending efficiency' and 'preference compatibility' across different economic systems against five key outcome criteria. By generalising Friedman's typology, it compares…
This chapter examines the possibility to analyze and compare human activities in an urban environment based on the detection of mobile phone usage patterns. Thanks to an unprecedented collection of counter data recording the number of…
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…
The concept of network efficiency, recently proposed to characterize the properties of small-world networks, is here used to study the effects of errors and attacks on scale-free networks. Two different kinds of scale-free networks, i.e.…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…
In his paper on Community Detection [1], Fortunato introduced a quality function called performance to assess the goodness of a graph partition. This measure counts the number of correctly ``interpreted" pairs of vertices, i. e. two…