Related papers: Hierarchical Structure in Financial Markets

--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…

A central challenge in financial economics is understanding how credit networks form under informational noise. We introduce the concept of topological capital, arguing that banks increasingly rely on topological certification, interpreting…

Previous efforts in complex networks research focused mainly on the topological features of such networks, but now also encompass the dynamics. In this Letter we discuss the relationship between structure and dynamics, with an emphasis on…

Geographic space is better understood through the topological relationship of the underlying streets (note: entire streets rather than street segments), which enables us to see scaling or fractal or living structure of far more…

Trophic coherence, a measure of a graph's hierarchical organisation, has been shown to be linked to a graph's structural and dynamical aspects such as cyclicity, stability and normality. Trophic levels of vertices can reveal their…

We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…

We consider a sharing economy network where agents embedded in a graph share their resources. This is a fundamental model that abstracts numerous emerging applications of collaborative consumption systems. The agents generate a random…

Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…

Many applications collect a large number of time series, for example, the financial data of companies quoted in a stock exchange, the health care data of all patients that visit the emergency room of a hospital, or the temperature sequences…

We connect several notions relating the structural and dynamical properties of a graph. Among them are the topological entropy coming from the vertex shift, which is related to the spectral radius of the graph's adjacency matrix, the…

Here, the structural symmetries of a hypergraph are represented through equivalence relations on the vertex set of the hypergraph. A matrix associated with the hypergraph may not reflect a specific structural symmetry. In the context of a…

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

Over the years, web content has evolved from simple text and static images hosted on a single server to a complex, interactive and multimedia-rich content hosted on different servers. As a result, a modern website during its loading time…

Topological Data Analysis has grown in popularity in recent years as a way to apply tools from algebraic topology to large data sets. One of the main tools in topological data analysis is persistent homology. This paper uses undergraduate…

Technical and fundamental analysis are traditional tools used to analyze individual stocks; however, the finance literature has shown that the price movement of each individual stock correlates heavily with other stocks, especially those…

Complex systems are difficult to study not only because they are nonlinear, multiscale, and often nonstationary, but because their scientifically relevant organization is often invisible at the level of individual components, pairwise…

Big data and the use of advanced technologies are relevant topics in the financial market. In this context, complex networks became extremely useful in describing the structure of complex financial systems. In particular, the time evolution…

An ultrametric topology formalizes the notion of hierarchical structure. An ultrametric embedding, referred to here as ultrametricity, is implied by a natural hierarchical embedding. Such hierarchical structure can be global in the data…

A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…

Living systems exhibit complex yet organized behavior on multiple spatiotemporal scales. To investigate the nature of multiscale coordination in living systems, one needs a meaningful and systematic way to quantify the complex dynamics, a…