Related papers: Nonlinear dependencies on Brazilian equity network…
This study pioneers the application of the Gai-Kapadia framework, originally developed for interbank contagion, to global equity markets. It offers a novel approach to assess systemic risk and default cascades. Using a 20-asset network (13…
We investigate the evolution of Internet speed and its implications for access to key digital services, as well as the resilience of the network during crises, focusing on six major Brazilian cities: Belo Horizonte, Bras\'ilia, Fortaleza,…
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…
We study community structure in time-dependent legislation cosponsorship networks in the Peruvian Congress, and we compare them briefly to legislation cosponsorship networks in the US Senate. To study these legislatures, we employ a…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
In this paper, we introduce a network-based methodology to study how clusters represented by political entities evolve over time. We constructed networks of voting data from the Brazilian Chamber of Deputies, where deputies are nodes and…
Without having direct access to the information that is being exchanged, traces of information flow can be obtained by looking at temporal sequences of user interactions. These sequences can be represented as causality trees whose…
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock Exchange A-shares (SSE A-shares) during tranquil periods,…
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf.…
The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most of the work on this topic tends to use the Pearson correlation coefficient,…
2018's Brazilian presidential elections highlighted the influence of alternative media and social networks, such as Twitter. In this work, we perform an analysis covering politically motivated discourses related to the second round in…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
Conspiracy theories related to climate change denial and anti-science have found fertile ground on Telegram, particularly among Brazilian communities that distrust scientific institutions and oppose global environmental policies. This study…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We analyze expenditure patterns of discretionary funds by Brazilian congress members. This analysis is based on a large dataset containing over $7$ million expenses made publicly available by the Brazilian government. This dataset has, up…
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones,…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
This paper proposes a two-step empirical framework to study the repricing of the Brazilian DI curve around Copom-related events. The empirical strategy separates the initial market reaction associated with the underlying shock from the…