Related papers: Dynamic asset trees and Black Monday
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence…
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…
We study the minimal spanning arborescence which is the directed analogue of the minimal spanning tree, with a particular focus on its infinite volume limit and its geometric properties. We prove that in a certain large class of transient…
The present paper is devoted to estimating the speed of convergence towards consensus for a general class of discrete-time multi-agent systems. In the systems considered here, both the topology of the interconnection graph and the weight of…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
We consider the minimum spanning tree problem in a setting where the edge weights are stochastic from unknown distributions, and the only available information is a single sample of each edge's weight distribution. In this setting, we…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
We consider the minimum spanning tree problem with predictions, using the weight-arrival model, i.e., the graph is given, together with predictions for the weights of all edges. Then the actual weights arrive one at a time and an…
This paper uses two hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1996-2001. We find that these…
We show that the geometry of minimum spanning trees (MST) on random graphs is universal. Due to this geometric universality, we are able to characterise the energy of MST using a scaling distribution ($P(\epsilon)$) found using uniform…
The fractal dimension of minimal spanning trees on percolation clusters is estimated for dimensions $d$ up to $d=5$. A robust analysis technique is developed for correlated data, as seen in such trees. This should be a robust method…
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether…
The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
We study shortest paths and spanning trees of complex networks with random edge weights. Edges which do not belong to the spanning tree are inactive in a transport process within the network. The introduction of quenched disorder modifies…
Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a…
We propose new succinct representations of ordinal trees, which have been studied extensively. It is known that any $n$-node static tree can be represented in $2n + o(n)$ bits and a number of operations on the tree can be supported in…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…