Related papers: The interdependency structure in the Mexican stock…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear,…
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…
Mexico City, the largest city in Mexico, is also one of the largest cities in the world. It has over 9 million inhabitants and concentrates the vast majority of government and business centers. In this work we describe algorithms that use…
We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE…
A multiplex social network captures multiple types of social relations among the same set of people, with each layer representing a distinct type of relationship. Understanding the structure of such systems allows us to identify how social…
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 paper, we study the connection between the companies in the Swedish capital market. We consider 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the…
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,…