Related papers: Granger Causality Stock Market Networks: Temporal …
While most classical approaches to Granger causality detection assume linear dynamics, many interactions in real-world applications, like neuroscience and genomics, are inherently nonlinear. In these cases, using linear models may lead to…
We propose a method of analysis of dynamical networks based on a recent measure of Granger causality between time series, based on kernel methods. The generalization of kernel Granger causality to the multivariate case, here presented,…
We analyze a two-period, two-market chain-store game in which an incumbent's conduct in one market is only sometimes seen in the other. This partial observability generates reputational spillovers across markets. We characterize equilibrium…
Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evidence that suggests social media and stock markets have a…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…
Stock prices are influenced over time by underlying macroeconomic factors. Jumping out of the box of conventional assumptions about the unpredictability of the market noise, we modeled the changes of stock prices over time through the…
We study a continuous treatment effect model in the presence of treatment spillovers through social networks. We assume that one's outcome is affected not only by his/her own treatment but also by a (weighted) average of his/her neighbors'…
We study Ising models for describing data and show that autoregressive methods may be used to learn their connections, also in the case of asymmetric connections and for multi-spin interactions. For each link the linear Granger causality is…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of…
In a temporal network causal paths are characterized by the fact that links from a source to a target must respect the chronological order. In this article we study the causal paths structure in temporal networks of human face to face…
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
Granger causality (GC) is often considered not an actual form of causality. Still, it is arguably the most widely used method to assess the predictability of a time series from another one. Granger causality has been widely used in many…
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper,…
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which…
This paper introduces a novel concept of impulse response decomposition to disentangle the dynamic contributions of the mediator variables in the transmission of structural shocks. We justify our decomposition by drawing on causal mediation…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
We analyze a neural system which mimics a sensorial cortex, with different input characteristics, in presence of transmission delays. We propose a new measure to characterize collective behavior, based on the nonlinear extension of the…
The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…