Related papers: Time Evolution of Non-linear Currency Networks
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…
This study delves into the analysis of financial markets through the lens of Wyckoff Phases, a framework devised by Richard D. Wyckoff in the early 20th century. Focusing on the accumulation pattern within the Wyckoff framework, the…
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…
This article proposes methods to model nonstationary temporal graph processes. This corresponds to modelling the observation of edge variables (relationships between objects) indicating interactions between pairs of nodes (or objects)…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
We study the effects of conformity, the tendency of humans to imitate locally common behaviors, in the evolution of cooperation when individuals occupy the vertices of a graph and engage in the one-shot Prisoner's Dilemma or the Snowdrift…
Model-Free Reinforcement Learning has achieved meaningful results in stable environments but, to this day, it remains problematic in regime changing environments like financial markets. In contrast, model-based RL is able to capture some…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
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…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and…
This article proposed a hybrid detrended deconvolution foreign exchange network construction method (DDFEN), which combined the detrended cross-correlation analysis coefficient (DCCC) and the network deconvolution method together. DDFEN is…
Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…
The self-consistent probabilistic approach has proven itself powerful in studying the percolation behavior of interdependent or multiplex networks without tracking the percolation process through each cascading step. In order to understand…
The lead-lag relationship plays a vital role in financial markets. It is the phenomenon where a certain price-series lags behind and partially replicates the movement of leading time-series. The present research proposes a new technique…
We define a dynamic model of random networks, where new vertices are connected to old ones with a probability proportional to a sublinear function of their degree. We first give a strong limit law for the empirical degree distribution, and…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to…
Random key graphs form a class of random intersection graphs and are naturally induced by the random key predistribution scheme of Eschenauer and Gligor for securing wireless sensor network (WSN) communications. Random key graphs have…