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This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry…
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…
The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and…
This study examines the network of supply and use of significant innovations across industries in Sweden, 1970-2013. It is found that 30% of innovation patterns can be predicted by network stimulus from backward and forward linkages. The…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
The internet has changed the way we live, work and take decisions. As it is the major modern resource for research, detailed data on internet usage exhibits vast amounts of behavioral information. This paper aims to answer the question…
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leading order, with 77 years Dow Jones Industrial Average data.…
We study the drivers and spatial diffusion of U.S. state population growth using a dynamic spatial model for 49 states, 1965-2017. Methodologically, we recover the spatial network structure from the data, rather than imposing it a priori…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
Network properties govern the rate and extent of various spreading processes, from simple contagions to complex cascades. Recently, the analysis of spreading processes has been extended from static networks to temporal networks, where nodes…
Using the carefully selected industry classification standard, we divide 102 industry securities indices in China's stock market into four demand-oriented sector groups and identify demand-oriented industry-specific volatility spillover…
We introduce a dynamic spatiotemporal volatility model that extends traditional approaches by incorporating spatial, temporal, and spatiotemporal spillover effects, along with volatility-specific observed and latent factors. The model…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…
Human communication, the essence of collective social phenomena ranging from small-scale organizations to worldwide online platforms, features intense reciprocal interactions between members in order to achieve stability, cohesion, and…
Users of social networks display diversified behavior and online habits. For instance, a user's tendency to reply to a post can depend on the user and the person posting. For convenience, we group users into aggregated behavioral patterns,…