Related papers: A novel portfolio construction strategy based on t…
The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…
Core-periphery structure is a common property of complex networks, which is a composition of tightly connected groups of core vertices and sparsely connected periphery vertices. This structure frequently emerges in traffic systems, biology,…
Intermediate-scale (or `meso-scale') structures in networks have received considerable attention, as the algorithmic detection of such structures makes it possible to discover network features that are not apparent either at the local scale…
A network with core-periphery structure consists of core nodes that are densely interconnected. In contrast to community structure, which is a different meso-scale structure of networks, core nodes can be connected to peripheral nodes and…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
Core-periphery structure is an essential mesoscale feature in complex networks. Previous researches mostly focus on discriminative approaches while in this work, we propose a generative model called masked Bayesian non-negative matrix…
We investigate an application of network centrality measures to portfolio optimization, by generalizing the method in [Pozzi, Di Matteo and Aste, \emph{Spread of risks across financial markets: better to invest in the peripheries},…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
We propose a statistical model for graphs with a core-periphery structure. To do this we define a precise notion of what it means for a graph to have this structure, based on the sparsity properties of the subgraphs of core and periphery…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
We introduce several novel and computationally efficient methods for detecting "core--periphery structure" in networks. Core--periphery structure is a type of mesoscale structure that includes densely-connected core vertices and…
In finance, Random Matrix Theory (RMT) is an important tool for filtering out noise from large datasets, revealing true correlations among stocks, enhancing risk management and portfolio optimization. In this study, we use RMT to filter out…
We study core-periphery structure in networks using inference methods based on a flexible network model that allows for traditional onion-like cores within cores, but also for hierarchical tree-like structures and more general non-nested…
Networks can have various types of mesoscale structures. One type of mesoscale structure in networks is core-periphery structure, which consists of densely-connected core nodes and sparsely-connected peripheral nodes. The core nodes are…
The hyperbolic network models exhibit very fundamental and essential features, like small-worldness, scale-freeness, high-clustering coefficient, and community structure. In this paper, we comprehensively explore the presence of an…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
Networks often possess mesoscale structures, and studying them can yield insights into both structure and function. It is most common to study community structure, but numerous other types of mesoscale structures also exist. In this paper,…
While studies of meso-scale structures in networks often focus on community structure, core--periphery structures can reveal new insights. This structure typically consists of a well-connected core and a periphery that is well connected to…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
Community and core-periphery are two widely studied graph structures, with their coexistence observed in real-world graphs (Rombach, Porter, Fowler \& Mucha [SIAM J. App. Math. 2014, SIAM Review 2017]). However, the nature of this…