A review of two decades of correlations, hierarchies, networks and clustering in financial markets
We review the state of the art of clustering financial time series and the study of their
correlations alongside other interaction networks. The aim of the review is to gather in one …
correlations alongside other interaction networks. The aim of the review is to gather in one …
On financial market correlation structures and diversification benefits across and within equity sectors
We study how to assess the potential benefit of diversifying an equity portfolio by investing
within and across equity sectors. We analyse 20 years of US stock price data, which …
within and across equity sectors. We analyse 20 years of US stock price data, which …
Lead–lag detection and network clustering for multivariate time series with an application to the US equity market
S Bennett, M Cucuringu, G Reinert - Machine Learning, 2022 - Springer
In multivariate time series systems, it has been observed that certain groups of variables
partially lead the evolution of the system, while other variables follow this evolution with a …
partially lead the evolution of the system, while other variables follow this evolution with a …
How do the global stock markets Influence one another? Evidence from finance big data and granger causality directed network
The recent financial network analysis approach reveals that the topologies of financial
markets have an important influence on market dynamics. However, the majority of existing …
markets have an important influence on market dynamics. However, the majority of existing …
Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets
The time proximity of trades across stocks reveals interesting topological structures of the
equity market in the United States. In this article, we investigate how such concurrent cross …
equity market in the United States. In this article, we investigate how such concurrent cross …
Construction of minimum spanning trees from financial returns using rank correlation
T Millington, M Niranjan - Physica A: Statistical Mechanics and its …, 2021 - Elsevier
The construction of minimum spanning trees (MSTs) from correlation matrices is an often
used method to study relationships in the financial markets. However most of the work on …
used method to study relationships in the financial markets. However most of the work on …
Network analysis of the Shanghai stock exchange based on partial mutual information
Analyzing social systems, particularly financial markets, using a complex network approach
has become one of the most popular fields within econophysics. A similar trend is currently …
has become one of the most popular fields within econophysics. A similar trend is currently …
[HTML][HTML] Causality networks of financial assets
Through financial network analysis we ascertain the existence of important causal behavior
between certain financial assets, as inferred from eight different causality methods. To the …
between certain financial assets, as inferred from eight different causality methods. To the …
Dynamic patterns of daily lead-lag networks in stock markets
Y Li, C Liu, T Wang, B Sun - Quantitative Finance, 2021 - Taylor & Francis
The lead-lag relationship between stocks is an interesting phenomenon, which has been
empirically seen to widely exist in stock markets. This paper aims to discover the dynamic …
empirically seen to widely exist in stock markets. This paper aims to discover the dynamic …
A temporal information transfer network approach considering federal funds rate for an interpretable asset fluctuation prediction framework
This study explores the complex interdependencies among five major financial assets—S&P
500, Bitcoin, Crude Oil, Gold, and USD/EUR—from April 2015 to September 2022 …
500, Bitcoin, Crude Oil, Gold, and USD/EUR—from April 2015 to September 2022 …