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This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is…

In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant…

Minimum spanning trees (MSTs) are used in a variety of fields, from computer science to geography. Infectious disease researchers have used them to infer the transmission pathway of certain pathogens. However, these are often the MSTs of…

We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal…

Choi et. al (2011) introduced a minimum spanning tree (MST)-based method called CLGrouping, for constructing tree-structured probabilistic graphical models, a statistical framework that is commonly used for inferring phylogenetic trees.…

We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…

In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…

In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We…

We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum…

The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…

There are numerous randomized algorithms to generate spanning trees in a given ambient graph; several target the uniform distribution on trees (UST), while in practice the fastest and most frequently used draw random weights on the edges…

This paper considers the \textit{minimum spanning tree (MST)} problem in the Congested Clique model and presents an algorithm that runs in $O(\log \log \log n)$ rounds, with high probability. Prior to this, the fastest MST algorithm in this…

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…

In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in…

Given an undirected, weighted graph, the minimum spanning tree (MST) is a tree that connects all of the vertices of the graph with minimum sum of edge weights. In real world applications, network designers often seek to quickly find a…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

We present a distributed randomized algorithm finding Minimum Spanning Tree (MST) of a given graph in O(1) rounds, with high probability, in the Congested Clique model. The input graph in the Congested Clique model is a graph of n nodes,…

This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the…