相关论文: Core-Periphery Dynamics in Market-Conditioned Fina…
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing…
This paper identifies the cryptocurrency market crashes and analyses its dynamics using the complex network. We identify three distinct crashes during 2017-20, and the analysis is carried out by dividing the time series into pre-crash,…
Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
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…
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended cross-correlation coefficient \rho(q,s). By extending…
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…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
Detecting the presence of mesoscale structures in complex networks is of primary importance. This is especially true for financial networks, whose structural organization deeply affects their resilience to events like default cascades,…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…