Related papers: Relation between regional uncertainty spillovers i…
This paper intends to explain Venezuela's country spread behavior through the Neural Networks analysis of a monthly economic activity general index of economic indicators constructed by the Central Bank of Venezuela, a measure of the shocks…
Financial market volatility is a crucial factor for investment planning, option pricing, and financial market regulation, and technology is widely recognized as a key driver of economic growth. In this project, we investigate the…
Based on nonlinear prediction and information theory, vertical heterogeneity of predictability and information loss rate was obtained over the Northern Hemisphere. In seasonal to interannual time scales, the predictability is low in lower…
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…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of 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…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Assessing world-wide financial integration constitutes a recurrent challenge in macroeconometrics, often addressed by visual inspections searching for data patterns. Econophysics literature enables us to build complementary, data-driven…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial. In this study, we demonstrate that the conventional practice of estimating models locally in…
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…
The expansion of wind and solar power is driving the European energy system transformation, thereby also driving our reliance on this weather-dependent resources. Integrating renewable scarcity events into long-term planning has therefore…
Neural networks are ubiquitous in many tasks, but trusting their predictions is an open issue. Uncertainty quantification is required for many applications, and disentangled aleatoric and epistemic uncertainties are best. In this paper, we…
The thermodynamic uncertainty relation, which establishes a universal trade-off between nonequilibrium current fluctuations and dissipation, has been found for various Markovian systems. However, this relation has not been revealed for…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
Recent developments in the global liberalization of equity and currency markets, coupled to advances in trading technologies, are making markets increasingly interdependent. This increased fluidity raises questions about the stability of…