Related papers: Time dependent cross correlations between differen…

In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed…

Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is…

The study of temporal networks in discrete time has yielded numerous insights into time-dependent networked systems in a wide variety of applications. For many complex systems, however, it is useful to develop continuous-time models of…

Tasks that require information about the world imply a trade-off between the time spent on observation and the variance of the response. In particular, fast decisions need to rely on uncertain information. However, standard estimates of…

Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…

The vast majority of strategies aimed at controlling contagion processes on networks considers the connectivity pattern of the system as either quenched or annealed. However, in the real world many networks are highly dynamical and evolve…

In discrete-time dynamics, it is frequently assumed that the transition probabilities (e.g., the recovery probability) are independent of the network structure. However, there is a lack of empirical evidence to support this claim in large…

We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…

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…

We have investigated the time series by the mapping them to the complex network. We have studied the behavior of the relative number of clusters in dynamic visibility graphs near the critical value of the angle of view. Time series of…

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

Time series forecasting is extensively applied across diverse domains. Transformer-based models demonstrate significant potential in modeling cross-time and cross-variable interaction. However, we notice that the cross-variable correlation…

We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained…

Without having direct access to the information that is being exchanged, traces of information flow can be obtained by looking at temporal sequences of user interactions. These sequences can be represented as causality trees whose…

In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…

This paper studies cross-market return predictability through a machine learning framework that preserves economic structure. Exploiting the non-overlapping trading hours of the U.S. and Chinese equity markets, we construct a directed…

Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…

Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…

We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…

We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…