Related papers: The interdependency structure in the Mexican stock…
Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise…
Over the last few years there has been a growing interest in using financial trading networks to understand the microstructure of financial markets. Most of the methodologies developed so far for this purpose have been based on the study of…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
The present work has as principal objective analyze the evolution of the process of privatization, mergers and acquisitions of the big companies in the country in the last decades, to understand the conductive threads that formed the…
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…
Accurate stock market prediction provides great opportunities for informed decision-making, yet existing methods struggle with financial data's non-linear, high-dimensional, and volatile characteristics. Advanced predictive models are…
In this paper, we investigate the mesoscale structure of the World Trade Network. In this framework, a specific role is assumed by short and long-range interactions, and hence by the distance, between countries. Therefore, we identify…
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both…
The need to build a link between the structure of a complex network and the dynamical properties of the corresponding complex system (comprised of multiple low dimensional systems) has recently become apparent. Several attempts to tackle…
Our analysis focuses on the stock cryptocurrency market, by studying a group of nineteen cryptocurrencies where their capitalisation is about 99% of the total market. Specifically, it is examined this group of cryptocurrencies for the…
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.…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE)…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…
Understanding the structural complexity and predictability of complex networks is a central challenge in network science. Although recent studies have revealed a relationship between compression-based entropy and link prediction…