Related papers: Granger Causality Stock Market Networks: Temporal …
Volatility clustering and spillovers are key features of real-world financial time series when there are a lot of cross-sectional financial assets. While network analysis helps connect stocks that are 'similar' or 'correlated', which is…
Important information on the structure of complex systems, consisting of more than one component, can be obtained by measuring to which extent the individual components exchange information among each other. Such knowledge is needed to…
Granger causality, commonly used for inferring causal structures from time series data, has been adopted in widespread applications across various fields due to its intuitive explainability and high compatibility with emerging deep neural…
Granger causality has become an indispensable tool for analyzing causal relationships between time series. In this paper, we provide a detailed overview of its mathematical foundations, trace its historical development, and explore how…
In this letter we discuss use of Granger causality to the analyze systems of coupled circular variables, by modifying a recently proposed method for multivariate analysis of causality. We show the application of the proposed approach on…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
Inferring causal relationships in observational time series data is an important task when interventions cannot be performed. Granger causality is a popular framework to infer potential causal mechanisms between different time series. The…
While economic theory explains the linkages among the financial markets of different countries, empirical studies mainly verify the linkages through Granger causality, without considering latent variables or instantaneous effects. Their…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
Identifying causal relations among simultaneously acquired signals is an important problem in multivariate time series analysis. For linear stochastic systems Granger proposed a simple procedure called the Granger causality to detect such…
Granger causality and variants of this concept allow the study of complex dynamical systems as networks constructed from multivariate time series. In this work, a large number of Granger causality measures used to form causality networks…
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…
Nestedness is a common property of communication, finance, trade, and ecological networks. In networks with high levels of nestedness, the link positions of low-degree nodes (those with few links) form nested subsets of the link positions…
We analyze by means of Granger causality the effect of synergy and redundancy in the inference (from time series data) of the information flow between subsystems of a complex network. Whilst we show that fully conditioned Granger causality…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
Stable and efficient food markets are crucial for global food security, yet international staple food markets are increasingly exposed to complex risks, including intensified risk contagion and escalating external uncertainties. This paper…
A particular phenomenon of interest in Retail Economics is the spillover effect of anchor stores (specific stores with a reputable brand) to non-anchor stores in terms of customer traffic. Prior works in this area rely on small and…