相关论文: Ranking Causal Influence of Financial Markets via …

This paper proposes a simple procedure to decide whether the empirically-observed adjacency or weights matrix, which characterizes the graph underlying a socio-economic network, is sufficiently symmetric (respectively, asymmetric) to…

According to behavioral finance, stock market returns are influenced by emotional, social and psychological factors. Several recent works support this theory by providing evidence of correlation between stock market prices and collective…

In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis…

Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evidence that suggests social media and stock markets have a…

Many applications collect a large number of time series, for example, the financial data of companies quoted in a stock exchange, the health care data of all patients that visit the emergency room of a hospital, or the temperature sequences…

This paper investigates causal influences between agents linked by a social graph and interacting over time. In particular, the work examines the dynamics of social learning models and distributed decision-making protocols, and derives…

We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…

Ranking systems produce ordered lists from scalar scores, yet the ranking itself depends only on pairwise comparisons. We develop a mathematical theory that takes this observation seriously, centering the analysis on pairwise margins rather…

Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…

We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…

While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…

We present a physics-inspired method for inferring dynamic rankings in directed temporal networks - networks in which each directed and timestamped edge reflects the outcome and timing of a pairwise interaction. The inferred ranking of each…

This paper concerns the assessment of the effects of actions from a combination of nonexperimental data and causal assumptions encoded in the form of a directed acyclic graph in which some variables are presumed to be unobserved. We provide…

Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…

This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of…

We propose a graphical model for representing networks of stochastic processes, the minimal generative model graph. It is based on reduced factorizations of the joint distribution over time. We show that under appropriate conditions, it is…

We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…

The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…

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…

Lifting uses a representative of indistinguishable individuals to exploit symmetries in probabilistic relational models, denoted as parametric factor graphs, to speed up inference while maintaining exact answers. In this paper, we show how…