相关论文: Nonlinear dependencies on Brazilian equity network…

We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear,…

Financial crises often occur without warning, yet markets leading up to these events display increasing volatility and complex interdependencies across multiple sectors. This study proposes a novel approach to predicting market crises by…

Power Grids and other delivery networks has been attracted some attention by the network literature last decades. Despite the Power Grids dynamics has been controlled by computer systems and human operators, the static features of this type…

The main objective of this paper is to Identify which macroe conomic factors and industrial indexes influenced the total Brazilian banking spread between March 2011 and March 2015. This paper considers subclassification of industrial…

Many infrastructure networks have a modular structure and are also interdependent. While significant research has explored the resilience of interdependent networks, there has been no analysis of the effects of modularity. Here we develop a…

This work presents an empirical study of the evolution of the personal income distribution in Brazil. Yearly samples available from 1978 to 2005 were studied and evidence was found that the complementary cumulative distribution of personal…

Adaptive networks are a versatile approach to model phenomena such as contagion and spreading dynamics, critical transitions and structure formation that emerge from the dynamic coevolution of complex network structure and node states.…

Online social networks such as Twitter are important platforms for spreading public opinion on a variety of subjects. The classification of users through the analysis of their posts on Twitter according to their opinion sharing can help…

We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to December 2019 and our analysis includes ordinary least…

This paper develops a nonlinear theoretical framework to analyze the dynamics of public expenditure reallocation in Uruguay. Motivated by recent debates on fiscal reform and expenditure efficiency, the paper models fiscal adjustment as a…

There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's surprise victory in the US presidential…

We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…

The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…

This paper proposes an empirical, replicable, and interpretable framework to decompose, in basis points (bps), daily changes in Brazil's 5-year DI futures rate (DI5Y). The approach combines three building blocks: (i) macroeconomic and…

Politics in different countries show diverse degrees of polarization, which tends to be stronger on social media, given how easy it became to connect and engage with like-minded individuals on the web. A way of reducing polarization would…

Remote sensing satellite data offer the unique possibility to map land use land cover transformations by providing spatially explicit information. However, detection of short-term processes and land use patterns of high spatial-temporal…

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…

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset…

We analyze a fixed panel of S\&P 500 stocks from 1996 to 2026 using complementary static and kinetic Ising models applied to daily binary open-to-close movements. The static pairwise model provides a long-run maximum-entropy summary of…

An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…