Related papers: Dynamic asset trees and Black Monday
We introduce a one-parametric family of tree growth models, in which branching probabilities decrease with branch age $\tau$ as $\tau^{-\alpha}$. Depending on the exponent $\alpha$, the scaling of tree depth with tree size $n$ displays a…
Financial markets exhibit temporal organization that is not fully captured by volatility measures or linear correlation structure. We study a null validated topological approach for quantifying market complexity and apply it to Bitcoin…
We study the dynamical aspects of dark energy in the context of a non-minimally coupled scalar field with curvature and torsion. Whereas the scalar field acts as the source of the trace mode of torsion, a suitable constraint on the torsion…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
Measuring the complexity of tree structures can be beneficial in areas that use tree data structures for storage, communication, and processing purposes. This complexity can then be used to compress tree data structures to their…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
We describe the conditions under which a set of continuous variables or characters can be described as an X-tree or a split network. A distance matrix corresponds exactly to a split network or a valued X-tree if, after ordering of the taxa,…
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best performance since inception. These drawdowns can increase either…
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to previous selection criteria for these market states, mainly…
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews…
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend…
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…
In the complete graph on n vertices, when each edge has a weight which is an exponential random variable, Frieze proved that the minimum spanning tree has weight tending to zeta(3)=1/1^3+1/2^3+1/3^3+... as n goes to infinity. We consider…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Accurate quantification of the relationship between forest loss and associated carbon emissions is critical for both environmental monitoring and policy evaluation. Although many studies have documented spatial patterns of forest…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
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…