Related papers: Hierarchical Structure in Financial Markets
A surprising image of the stock market arises if the price time series of all Dow Jones Industrial Average stock components are represented in one chart at once. The chart evolves into a braid representation of the stock market by taking…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
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…
We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of…
Portfolio management is an essential part of investment decision-making. However, traditional methods often fail to deliver reasonable performance. This problem stems from the inability of these methods to account for the unique…
An understanding of the economic landscape in a world of ever increasing data necessitates representations of data that can inform policy, deepen understanding and guide future research. Topological Data Analysis offers a set of tools which…
Firm financials are well established as return predictors, being the inspiration for a large set of anomalies in the asset pricing literature. Employing topological data analysis we revisit the question of association between seven of the…
We study the relationship between topological scales and dynamic time scales in complex networks. The analysis is based on the full dynamics towards synchronization of a system of coupled oscillators. In the synchronization process, modular…
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in…
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…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
Topology identification and inference of processes evolving over graphs arise in timely applications involving brain, transportation, financial, power, as well as social and information networks. This chapter provides an overview of graph…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
With emergence of blockchain technologies and the associated cryptocurrencies, such as Bitcoin, understanding network dynamics behind Blockchain graphs has become a rapidly evolving research direction. Unlike other financial networks, such…