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Characterizing temporal evolution of stock markets is a fundamental and challenging problem. The literature on analyzing the dynamics of the markets has focused so far on macro measures with less predictive power. This paper addresses this…
In this paper, we present an extended exploratory continuous-time mean-variance framework for portfolio management. Our strategy involves a new clustering method based on simulated annealing, which allows for more practical asset selection.…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal…
We present and analyze a simple and general scheme to build a churn (fault)-tolerant structured Peer-to-Peer (P2P) network. Our scheme shows how to "convert" a static network into a dynamic distributed hash table(DHT)-based P2P network such…
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…
The relationship between network topology and system dynamics has significant implications for unifying our understanding of the interplay among metabolic, gene-regulatory, and ecosystem network architecures. Here we analyze the stability…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
In this paper we offer a new perspective on the well established agglomerative clustering algorithm, focusing on recovery of hierarchical structure. We recommend a simple variant of the standard algorithm, in which clusters are merged by…
Nowadays, competition is getting tougher as market shrinks because of financial crisis of the late 2000s. Organizations are tensely forced to leverage their core competencies to survive through attracting more customers and gaining more…
In many complex systems, the dynamical evolution of the different components can result in adaptation of the connections between them. We consider the problem of how a fully connected network of discrete-state dynamical elements which can…
We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…
In turbulent flows, energy production is associated with highly organized structures, known as coherent structures. Since these structures are three-dimensional, their detection remains challenging in the most common situation, when…
Understanding the dependencies among financial assets is critical for portfolio optimization. Traditional approaches based on correlation networks often fail to capture the nonlinear and directional relationships that exist in financial…
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation networks, which exhibit topological…
We consider maintaining the contour tree $\mathbb{T}$ of a piecewise-linear triangulation $\mathbb{M}$ that is the graph of a time varying height function $h: \mathbb{R}^2 \rightarrow \mathbb{R}$. We carefully describe the combinatorial…
This note focuses on the optimization of neural architectures for stock index movement forecasting following a major market disruption or crisis. Given that such crises may introduce a shift in market dynamics, this study aims to…
Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…
Social fragmentation caused by widening differences among constituents has recently become a highly relevant issue to our modern society. Theoretical models of social fragmentation using the adaptive network framework have been proposed and…
Using a set of $\Lambda$CDM simulations of cosmic structure formation, we study the evolving connectivity and changing topological structure of the cosmic web using state-of-the-art tools of multiscale topological data analysis (TDA). We…