The structure and dynamics of complex network systems are of current research interest. We
illustrate the dependency between the network topology and its function, considering the …

Daily correlations among 322 S&P 500 constituent stocks are investigated by means of
correlation-based (CB) network. By using the heterogeneous time scales, we identify global …

We quantify the amount of information filtered by different hierarchical clustering methods on
correlations between stock returns comparing the clustering structure with the underlying …

Measuring the uncertainty is of both theoretical value and practical interest in the network
science. The previous studies focus on measuring the uncertainty of the entire networks …

This paper examines the role of interconnectivity in global stock markets during the Global
Financial Crisis (GFC) using a comprehensive dataset of 8,827 firms traded in developed …

The problem of portfolio optimization is one of the most important issues in asset
management. We here propose a new dynamic portfolio strategy based on the time-varying …

Complex systems are usually non-stationary and their dynamics is often dominated by
collective effects. Collectivity, defined as coherent motion of the whole system or of some of …

The hierarchical clustering algorithm has been proved useful in portfolio investment, which
is one of the hottest issues in finance. In our new portfolio strategy, central, peripheral and …

Both systematic and idiosyncratic information dissemination contribute to assets co-
movement. To proxy for co-movement based on heterogeneous information diffusion, we …

This article focuses on the detailed network structure of the co-movement for asset returns.
Based on the Chinese sector indices and Fama-French five factors, we conducted return …