相关论文: Time and Frequency Structure of Causal Correlation…

Randomized experiments, or "A/B" tests, remain the gold standard for evaluating the causal effect of a policy intervention or product change. However, experimental settings, such as social networks, where users are interacting and…

In this study, we investigate the evolution of Chinese guarantee networks from the angle of sub-patterns. First, we find that the mutual, 2-out-stars and triangle sub-patterns are motifs in 2- and 3-node subgraphs. Considering the…

We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a…

It is often useful in multivariate time series analysis to determine statistical causal relations between different time series. Granger causality is a fundamental measure for this purpose. Yet the traditional pairwise approach to Granger…

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…

This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…

A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove…

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 use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based…

Surety bonds are financial agreements between a contractor (principal) and obligee (project owner) to complete a project. However, most large-scale projects involve multiple contractors, creating a network and introducing the possibility of…

The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…

We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…

The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly…

The correlation-based financial networks are studied intensively. However, previous studies ignored the importance of the anti-correlation. This paper is the first to consider the anti-correlation and positive correlation separately, and…

Important information on the structure of complex systems, consisting of more than one component, can be obtained by measuring to which extent the individual components exchange information among each other. Such knowledge is needed to…

The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…

This study employs a co-integrated socio-economic model to investigate the long-run drivers of Chinese government expenditure on public pensions, addressing critical stability and sustainability challenges. Our methodology establishes a…

This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this…

This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…