相关论文: Financial Networks in the Korean Stock Exchange Ma…
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a…
A power law degree distribution is established for a graph evolution model based on the graph class of k-trees. This k-tree-based graph process can be viewed as an idealized model that captures some characteristics of the preferential…
We propose some kinetic models of wealth exchange and investigate their behavior on directed networks though numerical simulations. We observe that network topology and directedness yields a variety of interesting features in these models.…
In this paper, we propose a new model that allows us to investigate this competitive aspect of real networks in quantitative terms. Through theoretical analysis and numerical simulations, we find that the competitive network have the…
Multiplex networks are convenient mathematical representations for many real-world -- biological, social, and technological -- systems of interacting elements, where pairwise interactions among elements have different flavors. Previous…
We investigate the wealth evolution in a system of agents that exchange wealth through a disordered network in presence of an additive stochastic Gaussian noise. We show that the resulting wealth distribution is shaped by the degree…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
The interaction of distinct units in physical, social, biological and technological systems naturally gives rise to complex network structures. Networks have constantly been in the focus of research for the last decade, with considerable…
A random intersection graph is constructed by assigning independently to each vertex a subset of a given set and drawing an edge between two vertices if and only if their respective subsets intersect. In this paper a model is developed in…
A simple and elegant arrangement of stock components of a portfolio (market index-DJIA) in a recent paper [1], has led to the construction of crossing of stocks diagram. The crossing stocks method revealed hidden remarkable algebraic and…
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlying network structure of interrelations in foreign currency…
We investigate the effectiveness of a momentum trading signal based on the coverage network of financial analysts. This signal builds on the key information-brokerage role financial sell-side analysts play in modern stock markets. The…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that…
We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) using the movement of returns in Korean financial markets. The dynamical behavior for a binarized series of our models is not completely…
In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We…
It is commonly believed that real networks are scale-free and fraction of nodes $P(k)$ with degree $k$ satisfies the power law $P(k) \propto k^{-\gamma} \text{ for } k > k_{min} > 0$. Preferential attachment is the mechanism that has been…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…