Related papers: Dynamic asset trees and Black Monday
Cellular automata have been mainly studied on very regular graphs carrying the vertices (like lines or grids) and under synchronous dynamics (all vertices update simultaneously). In this paper, we study how the asynchronism and the graph…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
We investigate and defend the possibility of causing a stock market crash via small manipulations of individual stock values that together realize an adversarial example to financial forecasting models, causing these models to make the…
This paper give a simple linear-time algorithm that, given a weighted digraph, finds a spanning tree that simultaneously approximates a shortest-path tree and a minimum spanning tree. The algorithm provides a continuous trade-off: given the…
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage…
Ownership concentration is not a scalar. For a normalized investor-stock matrix $A$, it has three irreducible layers: concentration across investors, concentration across stocks, and dependence in the joint assignment of investors to…
The decomposition of a density function on a domain into a minimal sum of unimodal components is a fundamental problem in statistics, leading to the topological invariant of unimodal category of a density. This paper gives an efficient…
Quantifying structural stress in transaction networks requires metrics that capture structural organization beyond transaction volume alone. In this work, we introduce the Inefficiency Metric, a deterministic indicator designed to…
We present two models for incorporating the total effect of market microstructure noise into dynamic pricing of assets and European options. The first model is developed under a Black-Scholes-Merton, continuous-time framework. The second…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
Motivated from the study of eccentricity, center, and sum of eccentricities in graphs and trees, we introduce several new distance-based global and local functions based on the smallest distance from a vertex to some leaf (called the…
We uncover a close connection between the second moment of the degree of a typical vertex in a random subgraph and the pairwise negative correlation (p-NC) property. On one hand, we exploit this connection to prove the p-NC property for…
Despite the knowledge that social, economical, and ecological networks are often of a small-world nature with inter-nodal distance growing even slower than logarithmically with system size, we often assume theoretical systems to be outside…
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
In this paper, we study the Black-Litterman (BL) asset allocation model (Black and Litterman, 1990) under the hidden truncation skew-normal distribution (Arnold and Beaver, 2000). In particular, when returns are assumed to follow this skew…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
Kesten and Lee [36] proved that the total length of a minimal spanning tree on certain random point configurations in $\mathbb{R}^d$ satisfies a central limit theorem. They also raised the question: how to make these results quantitative?…