Related papers: Correlation based networks of equity returns sampl…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
There are few studies that look closely at how the topology of the Internet evolves over time; most focus on snapshots taken at a particular point in time. In this paper, we investigate the evolution of the topology of the Autonomous…
We examine a variety of graphical models to construct optimal portfolios. Graphical models such as PCA-KMeans, autoencoders, dynamic clustering, and structural learning can capture the time varying patterns in the covariance matrix and…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
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…
Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how…
This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
Several algorithms have been proposed to filter information on a complete graph of correlations across stocks to build a stock-correlation network. Among them the planar maximally filtered graph (PMFG) algorithm uses $3n-6$ edges to build a…
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…
We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than 1 million news articles collected from the internet, we construct time-varying directed networks of the S&P500 stocks.…
We present the clustering analysis of the financial markets of S&P 500 (USA) and Nikkei 225 (JPN) markets over a period of 2006-2019 as an example of a complex system. We investigate the statistical properties of correlation matrices…
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange…
Starting from the Pearson Correlation Matrix of stock returns and from the desire to obtain a reduced number of parameters relevant for the dynamics of a financial market, we propose to take the idea of a sectorial matrix, which would have…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were…
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated.…
The correlation-based financial networks are studied intensively. However, previous studies ignored the importance of the anti-correlation. This paper is the first to consider the anti-correlation and positive correlation separately, and…