Related papers: Nonlinear dependencies on Brazilian equity network…
Brazil's presidential system is characterized by the existence of many political parties that are elected for the Chamber of Deputies and unite in legislative coalitions to form a majority. Since the re-democratization in 1985, Brazil has…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
This paper provides the first empirical network analysis of the Argentine interbank money market. Its main topological features are examined applying graph theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
In last years, the Portuguese economy has gone through a severe adjustment process, affecting almost all industrial sectors, the building blocks of economic structures. Research on economic structural changes has made use of input/output…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in…
The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)'s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail…
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We conduct the analysis separately for…
Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, conventional Gaussian-linear forecasting frameworks may…
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large…
We present an investigation of the mode of road transport in Brazil combining tools of complex networks and real-data. Our analysis involves a data-set based on the service routes inscribed on the Brazilian Transport Agency database.…
In discrete-time dynamics, it is frequently assumed that the transition probabilities (e.g., the recovery probability) are independent of the network structure. However, there is a lack of empirical evidence to support this claim in large…
Monitoring changes in tree cover for rapid assessment of deforestation is considered the critical component of any climate mitigation policy for reducing carbon. Here, we map tropical tree cover and deforestation between 2015 and 2022 using…
The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…
This paper investigates MDPs with intermittent state information. We consider a scenario where the controller perceives the state information of the process via an unreliable communication channel. The transmissions of state information…
In this work, we study the behavior of Brazilian politicians and political parties with the help of clustering algorithms for signed social networks. For this purpose, we extract and analyze a collection of signed networks representing…
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained…
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…
This study extends the Gai-Kapadia framework, originally developed for interbank contagion, to assess systemic risk and default cascades in global equity markets. We analyze a 30 asset network comprising Brazilian and developed market…