Related papers: Time Evolution of Non-linear Currency Networks
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem we show that the Renyi entropy selectively emphasizes only certain sectors of the…
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We develop a statistical theory of networks. A network is a set of vertices and links given by its adjacency matrix $\c$, and the relevant statistical ensembles are defined in terms of a partition function $Z=\sum_{\c} \exp {[}-\beta \H(\c)…
Reciprocity--the tendency of individuals to form mutual ties--is a fundamental structural feature of many directed networks. Despite its ubiquity, reciprocity remains insufficiently integrated into statistical network models, particularly…
This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…
In a universe with a single currency, there would be no foreign exchange market, no foreign exchange rates, and no foreign exchange. Over the past twenty-five years, the way the market has performed those tasks has changed enormously. The…
This paper introduces a simple measure of a concordance pattern among observed outcomes along a network, i.e., the pattern in which adjacent outcomes tend to be more strongly correlated than non-adjacent outcomes. The graph concordance…
Tools of the theory of critical phenomena, namely the scaling analysis and universality, are argued to be applicable to large complex web-like network structures. Using a detailed analysis of the real data of the International Trade Network…
We construct a network of 1.6 million nodes from banking transactions of users of Rabobank. We assign two weights on each edge, which are the aggregate transferred amount and the total number of transactions between the users from the year…
Stimulated by the growing interest in the applications of complex networks framework on time series analysis, we devise a network model in which each of $N$ nodes is associated with a random walk of length $L$. Connectivity between any two…
A model of interdependent networks of networks (NoN) has been introduced recently in the context of brain activation to identify the neural collective influencers in the brain NoN. Here we develop a new approach to derive an exact…
In this paper, we investigate a semiparametric regression model under the context of treatment effects via a localized neural network (LNN) approach. Due to a vast number of parameters involved, we reduce the number of effective parameters…
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
Dynamic network analysis has found an increasing interest in the literature because of the importance of different kinds of dynamic social networks, biological networks, and economic networks. Most available probability and statistical…
We demonstrate how the uncertainty of parameter point estimates can be assessed in a maximum likelihood framework in order to prevent overfitting and erroneous detection of time-inhomogeneity. The class of models we consider are regular…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…