The physics of financial networks
As the total value of the global financial market outgrew the value of the real economy,
financial institutions created a global web of interactions that embodies systemic risks …
financial institutions created a global web of interactions that embodies systemic risks …
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 …
Detecting informative higher-order interactions in statistically validated hypergraphs
Recent empirical evidence has shown that in many real-world systems, successfully
represented as networks, interactions are not limited to dyads, but often involve three or …
represented as networks, interactions are not limited to dyads, but often involve three or …
Community detection for correlation matrices
M MacMahon, D Garlaschelli - ar** points and optimal repairing in interacting networks
Abstract Systems composed of many interacting dynamical networks—such as the human
body with its biological networks or the global economic network consisting of regional …
body with its biological networks or the global economic network consisting of regional …
Granger causality stock market networks: Temporal proximity and preferential attachment
The structure of return spillovers is examined by constructing Granger causality networks
using daily closing prices of 20 developed markets from 2nd January 2006 to 31st …
using daily closing prices of 20 developed markets from 2nd January 2006 to 31st …
Lead–lag detection and network clustering for multivariate time series with an application to the US equity market
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 …
The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market
This paper examines the relationship between spot and futures prices in the Indian
commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used …
commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used …