Multiscale characteristics of the emerging global cryptocurrency market
Modern financial markets are characterized by a rapid flow of information, a vast number of
participants having diversified investment horizons, and multiple feedback mechanisms …
participants having diversified investment horizons, and multiple feedback mechanisms …
Correlation of financial markets in times of crisis
LS Junior, IDP Franca - Physica A: Statistical Mechanics and its …, 2012 - Elsevier
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 …
financial market indices in the world, we show that high volatility of markets is directly linked …
Networks of equities in financial markets
We review the recent approach of correlation based networks of financial equities. We
investigate portfolio of stocks at different time horizons, financial indices and volatility time …
investigate portfolio of stocks at different time horizons, financial indices and volatility time …
Correlation, hierarchies, and networks in financial markets
We discuss some methods to quantitatively investigate the properties of correlation matrices.
Correlation matrices play an important role in portfolio optimization and in several other …
Correlation matrices play an important role in portfolio optimization and in several other …
Combining complex networks and data mining: why and how
The increasing power of computer technology does not dispense with the need to extract
meaningful information out of data sets of ever growing size, and indeed typically …
meaningful information out of data sets of ever growing size, and indeed typically …
Complex network-based time series analysis
Y Yang, H Yang - Physica A: Statistical Mechanics and its Applications, 2008 - Elsevier
Recent works show that complex network theory may be a powerful tool in time series
analysis. We propose in this paper a reliable procedure for constructing complex networks …
analysis. We propose in this paper a reliable procedure for constructing complex networks …
Cluster analysis for portfolio optimization
We consider the problem of the statistical uncertainty of the correlation matrix in the
optimization of a financial portfolio. By assuming idealized conditions of perfect forecast …
optimization of a financial portfolio. By assuming idealized conditions of perfect forecast …
Gravity model in the Korean highway
WS Jung, F Wang, HE Stanley - Europhysics Letters, 2008 - iopscience.iop.org
We investigate the traffic flows of the Korean highway system, which contains both public
and private transportation information. We find that the traffic flow T ij between city i and j …
and private transportation information. We find that the traffic flow T ij between city i and j …
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 …