相关论文: The effect of a market factor on information flow …

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company…

Stock Movement Prediction (SMP) aims at predicting listed companies' stock future price trend, which is a challenging task due to the volatile nature of financial markets. Recent financial studies show that the momentum spillover effect…

Building a spanning tree, minimum spanning tree (MST), and BFS tree in a distributed network are fundamental problems which are still not fully understood in terms of time and communication cost. x The first work to succeed in computing a…

Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…

Complex systems of interacting components often can be modeled by a simple graph $\mathcal{G}$ that consists of a set of $n$ nodes and a set of $m$ edges. Such a graph can be represented by an adjacency matrix $A\in\R^{n\times n}$, whose…

The non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. The current study is based on the capitalization changes and transaction…

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…

We study the dynamical properties of human communication through different channels, i.e., short messages, phone calls, and emails, adopting techniques from neuronal spike train analysis in order to characterize the temporal fluctuations of…

This study uses hierarchical structure methods (minimal spanning tree, (MST) and hierarchical tree, (HT)) to examine the hierarchical structures of the United State (US) foreign trade by using the real prices of their commodity export and…

Plastic deformation of crystalline and amorphous matter often involves intermittent local strain burst events. To understand the physical background of the phenomenon a minimal stochastic mesoscopic model was introduced, where…

We present a deterministic algorithm for computing the sensitivity of a minimum spanning tree (MST) or shortest path tree in $O(m\log\alpha(m,n))$ time, where $\alpha$ is the inverse-Ackermann function. This improves upon a long standing…

Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evidence that suggests social media and stock markets have a…

Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…

We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…

In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…

We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when…

Stock market forecasting is very important in the planning of business activities. Stock price prediction has attracted many researchers in multiple disciplines including computer science, statistics, economics, finance, and operations…

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and…

Reliable propagation of information through large networks, e.g., communication networks, social networks or sensor networks is very important in many applications concerning marketing, social networks, and wireless sensor networks.…

We study the problem of privately releasing an approximate minimum spanning tree (MST). Given a graph $G = (V, E, \vec{W})$ where $V$ is a set of $n$ vertices, $E$ is a set of $m$ undirected edges, and $ \vec{W} \in \mathbb{R}^{|E|} $ is an…