Related papers: Nonlinear dependencies on Brazilian equity network…
We propose a diffusion process to describe the global dynamic evolution of credit operations at a national level given observed operations at a subnational level in a sovereign country. Empirical analysis with a unique dataset from…
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US…
We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the…
Given the rapid recent trend of urbanization, a better understanding of how urban infrastructure mediates socioeconomic interactions and economic systems is of vital importance. While the accessibility of location-enabled devices as well as…
About two million U.S. corporations and partnerships are linked to each other and human investors by about 15 million owner-subsidiary links. Comparable social networks such as corporate board memberships and socially-built systems such as…
In this paper we present a statistical analysis about the characteristics that we intend to influence in the performance of the neural networks in terms of assertiveness in the prediction of Brazilian stock returns. We created a population…
The reliable and resilient operation of the smart grid necessitates a clear understanding of the intra-and-inter dependencies of its power and communication systems. This understanding can only be achieved by accurately depicting the…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
This paper combines traditional panel econometrics with random forest machine learning to revisit the relationship between exchange rate regimes and economic growth for 27 transition economies over 1991-2019. Exploiting the Couharde-Grekou…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
Climate change refers to substantial long-term variations in weather patterns. In this work, we employ a Machine Learning (ML) technique, the Random Forest (RF) algorithm, to forecast the monthly average temperature for Brazilian's states…
Understanding and predicting how complex systems respond to external perturbations is a central challenge in nonequilibrium statistical physics. Here we consider continuous-time Markov networks, which we subject to perturbations along a…
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation…
Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether…
This paper assesses the empirical content of one of the most prevalent assumptions in the economics of networks literature, namely the assumption that decision makers have full knowledge about the networks they interact on. Using network…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
We consider a discrete-time dynamical process on graphs, firstly introduced in connection with a protocol for controlling large networks of spin 1/2 quantum mechanical particles [Phys. Rev. Lett. 99, 100501 (2007)]. A description is as…
We model and forecast the early evolution of the COVID-19 pandemic in Brazil using Brazilian recent data from February 25, 2020 to March 30, 2020. This early period accounts for unawareness of the epidemiological characteristics of the…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as…