相关论文: Assessment of 48 Stock markets using adaptive mult…

The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…

We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…

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…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the…

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…

Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying…

This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a…

In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the…

The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence…

To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market…

In this paper we study Algorithmic High-Frequency Financial Markets as dynamical networks. After an individual analysis of 24 stocks of the US market during a trading year of fully automated transactions by means of ordinal pattern series,…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…

We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE)…

Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…

This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold…

We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the…

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…