Related papers: Nonlinear dependencies on Brazilian equity network…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
In this work, we investigate the evolution of polarization, influence, and domination in online interaction networks. Twitter data collected before and during the 2022 Brazilian elections is used as a case study. From a theoretical…
We report an empirical study of the Ibovespa index of the Sao Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data we introduce a rescaled variant of the usual Detrended Fluctuation Analysis…
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
This paper investigates the resilience of mobile communication networks during the extreme flooding that affected Rio Grande do Sul, Brazil, in May 2024. Based on regulatory data and technical insights from operators, the study identifies…
This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
We present a study of social networks based on the analysis of Brazilian and Portuguese family names (surnames). We construct networks whose nodes are names of families and whose edges represent parental relations between two families. From…
We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree…
We investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P500 and KOSPI. Among the common…
In this work we study a simple mathematical model to analyze the emergence and control of radicalization phenomena, motivated by the recent far-right extremist events in Brazil, occurred in January 8, 2023. For this purpose, we considered a…
Brazil is the 5th largest country in the world, despite of having a ``High Human Development'' it is the 9th most unequal country. The existing Brazilian micro pension programme is one of the safety nets for poor people. To become eligible…
This study investigates the impact of the pandemic on the most traded stocks in the Colombian stock market for the date of January 17, 2024. Based on the daily data of the most traded companies in Colombia for said date and covering a…
This paper studies the network structure and fragmentation of the Argentinean interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined, applying complex network analysis. Results indicate that, although the…