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 …

In this paper we analyze the correlation structure between US markets and Asian markets.
Our motivation being analysis of the effect of the 2008 financial crisis on Asian markets. For …

This paper applies mutual information to research the distribution of financial contagion in
global stock markets during the US subprime crisis. First, we symbolize the daily logarithmic …

In this paper, we study data from financial markets, using the normalised Mutual Information
Rate. We show how to use it to infer the underlying network structure of interrelations in the …

The econophysics approach to socio-economic systems is based on the assumption of their
complexity. Such assumption inevitably lead to another assumption, namely that underlying …

Researchers in finance, managers, and people interested in the stock market observe that
stock prices generally move together. Financial analysts and academic researchers use …

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 …

A method based on coarse‐graining to construct a directed weighted complex network
which models the transformation of the trading data of an individual stock is introduced. The …