相关论文: The effect of a market factor on information flow …
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
Stock prices are driven by various factors. In particular, many individual investors who have relatively little financial knowledge rely heavily on the information from news stories when making investment decisions in the stock market.…
In this work, we introduce a quantitative methodology to define what is the main trunk and what are the significant branches of a minimum spanning tree (MST). We apply it to the pulsar tree, i.e. the MST of the pulsar population constructed…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
The minimum spanning tree (MST) construction is a classical problem in Distributed Computing for creating a globally minimized structure distributedly. Self-stabilization is versatile technique for forward recovery that permits to handle…
The competition between local and global driving forces is significant in a wide variety of naturally occurring branched networks. We have investigated the impact of a global minimization criterion versus a local one on the structure of…
In this paper we analyze how market prices change in response to information processing among the market participants and how non-linear information dynamics drive market price movement. We analyze historical data of the SP 500 market for…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
We investigate blob-trees, a new way of connecting a set of points, by a mixture of enclosing them by cycles (as in the convex hull) and connecting them by edges (as in a spanning tree). We show that a minimum-cost blob-tree for $n$ points…
The inference of a large symmetric signal-matrix $\mathbf{S} \in \mathbb{R}^{N\times N}$ corrupted by additive Gaussian noise, is considered for two regimes of growth of the rank $M$ as a function of $N$. For sub-linear ranks…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
Minimum Spanning Tree (MST) is an important graph algorithm that has wide ranging applications in the areas of computer networks, VLSI routing, wireless communications among others. Today virtually every computer is built out of multi-core…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
Given a spatio-temporal network (ST network) where edge properties vary with time, a time-sub-interval minimum spanning tree (TSMST) is a collection of minimum spanning trees of the ST network, where each tree is associated with a time…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11…