Related papers: Dynamics of Investor Spanning Trees Around Dot-Com…
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset…
Most mathematical models of opinion dynamics treat attitudes as scalar quantities or positions on a low-dimensional ideological axis. Empirical attitudes, however, are bundles of positions across many policy issues, and the geometry of the…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
We study the collective dynamics of strongly diffusively coupled excitable elements on small random tree networks. Stochastic external inputs are applied to the leaves causing large spiking events. Those events propagate along the tree…
We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
We study the stochastic dynamics of strongly-coupled excitable elements on a tree network. The peripheral nodes receive independent random inputs which may induce large spiking events propagating through the branches of the tree and leading…
We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing…
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
We present an empirical study of the networks created by users within internet news groups and forums and show that they organise themselves into scale-free trees. The structure of these trees depends on the topic under discussion;…
In this paper, I revisit Phillips, Wu and Yu's seminal 2011 paper on testing for the dot-com bubble. I apply recent advancements of their methods to individual Nasdaq stocks and use a novel specification for fundamentals. To address a…
The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build…
Many real-world processes evolve in cascades over complex networks, whose topologies are often unobservable and change over time. However, the so-termed adoption times when blogs mention popular news items, individuals in a community catch…
House price increases have been steady over much of the last 40 years, but there have been occasional declines, most notably in the recent housing bust that started around 2007, on the heels of the preceding housing bubble. We introduce a…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
Social network research has begun to take advantage of fine-grained communications regarding coordination, decision-making, and knowledge sharing. These studies, however, have not generally analyzed how external events are associated with a…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial markets. We extract and interpret the empirical, numerical,…
Human social interactions tend to vary in intensity over time, whether they are in person or online. Variable rates of interaction in structured populations can be described by networks with the time-varying activity of links and nodes. One…
We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those $N(N-1)/2$ correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the…