Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
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 …
Investigating the structure of semantic networks in low and high creative persons
According to Mednick's theory of individual differences in creativity, creative individuals
appear to have a richer and more flexible associative network than less creative individuals …
appear to have a richer and more flexible associative network than less creative individuals …
Extreme risk spillover network: application to financial institutions
Using the CAViaR tool to estimate the value-at-risk (VaR) and the Granger causality risk test
to quantify extreme risk spillovers, we propose an extreme risk spillover network for …
to quantify extreme risk spillovers, we propose an extreme risk spillover network for …
Correlation structure and evolution of world stock markets: Evidence from Pearson and partial correlation-based networks
We construct a Pearson correlation-based network and a partial correlation-based network,
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
This paper investigates how the COVID-19 pandemic affects the connectedness network of
stock market volatility in 19 economies around the world. Our method builds on the Diebold …
stock market volatility in 19 economies around the world. Our method builds on the Diebold …
Statistically validated networks in bipartite complex systems
Many complex systems present an intrinsic bipartite structure where elements of one set link
to elements of the second set. In these complex systems, such as the system of actors and …
to elements of the second set. In these complex systems, such as the system of actors and …
Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
When common factors strongly influence two power-law cross-correlated time series
recorded in complex natural or social systems, using detrended cross-correlation analysis …
recorded in complex natural or social systems, using detrended cross-correlation analysis …
A survey of the application of graph-based approaches in stock market analysis and prediction
Graph-based approaches are revolutionizing the analysis of different real-life systems, and
the stock market is no exception. Individual stocks and stock market indices are connected …
the stock market is no exception. Individual stocks and stock market indices are connected …
Quantifying the behavior of stock correlations under market stress
Understanding correlations in complex systems is crucial in the face of turbulence, such as
the ongoing financial crisis. However, in complex systems, such as financial systems …
the ongoing financial crisis. However, in complex systems, such as financial systems …