相关论文: Will the US Economy Recover in 2010? A Minimal Spa…

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

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…

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…

The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…

With the rapid growth of the green bond market amid increasing emphasis on sustainable development, understanding its structural properties and potential systemic risks has become essential. This study applies Minimum Spanning Tree (MST)…

The COVID-19 pandemic reignited debate on the U.S. Phillips curve. Using MSA-level panel data (2001-2024), we employ a Two-Stage Least Squares (2SLS) instrumental variable strategy with a shift-share instrument to estimate core non-tradable…

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…

We calculate measures of economic complexity for US metropolitan areas for the years 2007-2015 based on industry employment data. We show that the concept of economic complexity translates well from the cross-country to the regional…

The predictions of the S&P 500 returns made in 2007 have been tested and the underlying models amended. The period between 2003 and 2008 should be described by the dependence of the S&P 500 stock market index on real GDP because the…

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…

Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidity, such as default in debt and bonds, has led to the spread of bankruptcies, such as Lehman Brothers in 2008. Using the data for the ETFs…

In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…

Finding a minimum spanning tree (MST) for $n$ points in an arbitrary metric space is a fundamental primitive for hierarchical clustering and many other ML tasks, but this takes $\Omega(n^2)$ time to even approximate. We introduce a…

Processing graphs with temporal information (the temporal graphs) has become increasingly important in the real world. In this paper, we study efficient solutions to temporal graph applications using new algorithms for Incremental Minimum…

The primary objective of this paper was to investigate whether the growth in the major US asset indices could be a function of the US broad money supply and/or US GDP, over the time period 2001 to 2019, using an information entropy…

We study the relation between the minimal spanning tree (MST) on many random points and the "near-minimal" tree which is optimal subject to the constraint that a proportion $\delta$ of its edges must be different from those of the MST.…

This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…

The minimum spanning tree (MST) is a combinatorial optimization problem: given a connected graph with a real weight ("cost") on each edge, find the spanning tree that minimizes the sum of the total cost of the occupied edges. We consider…

The minimum spanning tree (MST), a graph constructed from a distribution of points, draws lines between pairs of points so that all points are linked in a single skeletal structure that contains no loops and has minimal total edge length.…

In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…