相关论文: Nonlinear dependencies on Brazilian equity network…

The follow up of Representative behavior after elections is imperative for a democratic Representative system, at the very least to punish betrayal with no re-election. Our goal was to show how to follow Representatives' and how to show…

We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the…

Conflicts between the executive and legislative powers are a common, and even expected, characteristic of presidential systems, with some governments being more successful in the activity of obtaining support from the Congress than others.…

We use the correlation matrix of stocks returns in order to create maps of the S\~ao Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the…

In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…

Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…

This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an…

This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MST) framework. We analyze nonlinear dependencies among the…

The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…

The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…

In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…

The purpose of this paper is to calculate the risk-dependent centrality (RDC) of the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 to June 2020 at different levels of…

Our goal in this paper is to study and characterize the interdependency structure of the Mexican Stock Exchange (mainly stocks from BMV) in the period 2000-2019 and provide visualizations which in a one shot provide a big-picture panorama.…

This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a…

In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…

We study a novel economic network (supply chain) comprised of wire transfers (electronic payment transactions) among the universe of firms in Brazil (6.2 million firms). We construct a directed and weighted network in which vertices…

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of ten pairwise combinations of the five BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily…

We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is…

Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…

We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…