Related papers: Nonlinear dependencies on Brazilian equity network…
Selective exposure, individuals' inclination to seek out information that supports their beliefs while avoiding information that contradicts them, plays an important role in the emergence of polarization and echo chambers. In the political…
Brazil rose as a global powerhouse producer of soybeans and corn over the past 15 years has fundamentally changed global markets in these commodities. This is arguably due to the development of varieties of soybean and corn adapted to…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
Financial markets are dynamic, interconnected systems where local shocks can trigger widespread instability, challenging portfolio managers and policymakers. Traditional correlation analysis often miss the directionality and temporal…
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…
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…
There is bountiful evidence that political uncertainty stemming from presidential elections or doubt about the direction of future policy make financial markets significantly volatile, especially in proximity to close elections or elections…
Modern society is increasingly massively connected, reflecting an omnipresent tendency to organize social, economic, and technological structures in complex networks. Recently, with the advent of the so-called multiplex networks, new…
A large literature has documented transitivity as a key feature of social networks: individuals are more likely connected with each other if they share common connections with other individuals. We take this idea to trading relationships…
We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial data. Market structure is measured by…
Bank crisis is challenging to define but can be manifested through bank contagion. This study presents a comprehensive framework grounded in nonlinear time series analysis to identify potential early warning signals (EWS) for impending…
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power…
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;…
Agriculture is impacted by multiple variables such as weather, soil, crop, stocks, socioeconomic context, cultural aspects, supply and demand, just to name a few. Hence, understanding this domain and identifying challenges faced by…
In this paper, we explore the application of Permutation Decision Trees (PDT) and strategic trailing for predicting stock market movements and executing profitable trades in the Indian stock market. We focus on high-frequency data using…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
Over the past decade, Brazil has experienced a decline in vaccination coverage, reversing decades of public health progress achieved through the National Immunization Program (PNI). Growing evidence points to the widespread circulation of…
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\~ao Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
Real world systems typically feature a variety of different dependency types and topologies that complicate model selection for probabilistic graphical models. We introduce the ensemble-of-forests model, a generalization of the…