Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets
This paper proposes a novel interconnected multilayer network framework based on
variance decomposition and block aggregation technique, which can be further served as a …
variance decomposition and block aggregation technique, which can be further served as a …
[HTML][HTML] Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak
Abstract The Coronavirus (COVID-19) outbreak has become one of the biggest threats to the
global economy and financial markets. This study aims to analyze the effects of COVID-19 …
global economy and financial markets. This study aims to analyze the effects of COVID-19 …
Combining conflicting evidence based on Pearson correlation coefficient and weighted graph
Dempster–Shafer evidence theory (evidence theory) has been widely used as an efficient
method for dealing with uncertainty. In evidence theory, Dempster's rule is the most well …
method for dealing with uncertainty. In evidence theory, Dempster's rule is the most well …
Interconnectedness and systemic risk of China's financial institutions
We investigate the interconnectedness and systemic risk of China's financial institutions by
constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly …
constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly …
[HTML][HTML] YOLO trading: Riding with the herd during the GameStop episode
We explore the 2020 and early 2021 price variation of four stocks: GameStop, AMC
Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a …
Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a …
Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network
W Zhang, X Zhuang, J Wang, Y Lu - The North American Journal of …, 2020 - Elsevier
This paper investigates the systemic risk spillovers and connectedness in the sectoral tail
risk network of Chinese stock market, and explores the transmission mechanism of systemic …
risk network of Chinese stock market, and explores the transmission mechanism of systemic …
Relation-aware dynamic attributed graph attention network for stocks recommendation
The inherent properties of the graph structure of the financial market and the correlation
attributes that actually exist in the system inspire us to introduce the concept of the graph to …
attributes that actually exist in the system inspire us to introduce the concept of the graph to …
Connectedness and risk spillovers in China's stock market: A sectoral analysis
This paper shows how sectors in the Chinese stock market are connected and investigates
risk spillovers across these sectors. Using graph theory and a recently developed time …
risk spillovers across these sectors. Using graph theory and a recently developed time …
[HTML][HTML] Collective behavior of cryptocurrency price changes
Digital assets termed cryptocurrencies are correlated. We analyze cross correlations
between price changes of different cryptocurrencies using methods of random matrix theory …
between price changes of different cryptocurrencies using methods of random matrix theory …
Tail dependence networks of global stock markets
The Pearson correlation coefficient is used by many researchers to construct complex
financial networks. However, it is difficult to capture the structural characteristics of financial …
financial networks. However, it is difficult to capture the structural characteristics of financial …