Related papers: Return spillovers around the globe: A network appr…
Reciprocity, or the tendency of individuals to mirror behavior, is a key measure that describes information exchange in a social network. Users in social networks tend to engage in different levels of reciprocal behavior. Differences in…
This paper analyses the world web of mergers and acquisitions (M&As) using a complex network approach. We use data of M&As to build a temporal sequence of binary and weighted-directed networks for the period 1995-2010 and 224 countries…
The principle that 'the brand effect is attractive' underlies preferential attachment. Here we show that the brand effect is just one dimension of attractiveness. Another dimension is competitiveness. We firstly develop a general framework…
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first…
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…
This paper investigates the impact of link formation between a pair of agents on the resource availability of other agents (that is, externalities) in a social cloud network, a special case of endogenous sharing economy networks.…
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…
This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-autoregression with factor stochastic volatility. Our results…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
This paper presents an analysis of a temporal network that describes the social connections of a large-scale (~ 30,000) sample of online social network users, inhabitants of a fixed city. We tested how the main network formation…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
We investigate the extreme return connectedness between the food, fossil energy, and clean energy markets using the quantile connectedness approach, which combines the traditional spillover index with quantile regression. Our results show…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it…
As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…
Global degree/strength based preferential attachment is widely used as an evolution mechanism of networks. But it is hard to believe that any individual can get global information and shape the network architecture based on it. In this…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a…