相关论文: Immediate Causality Network of Stock Markets
The topological structure of the power grid plays a key role in the reliable delivery of electricity and price settlement in the electricity market. Incorporation of new energy sources and loads into the grid over time has led to its…
Without having direct access to the information that is being exchanged, traces of information flow can be obtained by looking at temporal sequences of user interactions. These sequences can be represented as causality trees whose…
We live in a modern world supported by large, complex networks. Examples range from financial markets to communication and transportation systems. In many realistic situations the flow of physical quantities in the network, as characterized…
Evolution produces complex and structured networks of interacting components in chemical, biological, and social systems. We describe a simple mathematical model for the evolution of an idealized chemical system to study how a network of…
Networks in nature do not act in isolation but instead exchange information, and depend on each other to function properly. An incipient theory of Networks of Networks have shown that connected random networks may very easily result in…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
The topology of any complex system is key to understanding its structure and function. Fundamentally, algebraic topology guarantees that any system represented by a network can be understood through its closed paths. The length of each path…
Multiple studies of neural avalanches across different data modalities led to the prominent hypothesis that the brain operates near a critical point. The observed exponents often indicate the mean-field directed-percolation universality…
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…
The influence of networks topology on collective properties of dynamical systems defined upon it is studied in the thermodynamic limit. A network model construction scheme is proposed where the number of links, the average eccentricity and…
Many real-world processes evolve in cascades over complex networks, whose topologies are often unobservable and change over time. However, the so-termed adoption times when blogs mention popular news items, individuals in a community catch…
We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
Modern society heavily relies on strongly connected, socio-technical systems. As a result, distinct risks threatening the operation of individual systems can no longer be treated in isolation. Consequently, risk experts are actively seeking…
The Chinese stock market experienced an abrupt crash in 2015, and over one-third of its market value evaporated. Given its associations with fear and the fine resolution with respect to frequency, the illiquidity of stocks may offer a…
The structure of real-world social networks in large part determines the evolution of social phenomena, including opinion formation, diffusion of information and influence, and the spread of disease. Globally, network structure is…