Typically, complex systems are natural or social systems which consist of a large number of
nonlinearly interacting elements. These systems are open, they interchange information or …

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 …

Following the recently introduced concept of transfer entropy, we attempt to measure the
information flow between two financial time series, the Dow Jones and DAX stock index …

Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …

We investigate the daily correlation present among market indices of stock exchanges
located all over the world in the time period January 1996 to July 2009. We discover that the …

We propose an algorithm, multifractal cross-correlation analysis (MFCCA), which constitutes
a consistent extension of the detrended cross-correlation analysis and is able to properly …

Portfolio management aims at maximizing the return on investment while minimizing risk by
continuously reallocating the assets forming the portfolio. These assets are not independent …

In the last few years there have been many efforts in econophysics studying how network
theory can facilitate understanding of complex financial markets. These efforts consist mainly …

Motivated by the current fears of a potentially stagflationary global economic environment,
this paper uses new and recently introduced mathematical techniques to study multivariate …

In relation to the traditional financial markets, the cryptocurrency market is a recent invention
and the trading dynamics of all its components are readily recorded and stored. This fact …