Showing 1 - 10 of 4,128
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing the clustering structure with the underlying industrial activity classification. We apply, for the first time to financial data, a novel hierarchical...
Persistent link: https://www.econbiz.de/10011266095
We report a study of a stylized banking cascade model investigating systemic risk caused by counterparty failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from...
Persistent link: https://www.econbiz.de/10011125937
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be positively correlated to their depth in the hierarchy of...
Persistent link: https://www.econbiz.de/10011126338
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to financial data, a novel hierarchical clustering...
Persistent link: https://www.econbiz.de/10011124873
We introduce a graph-theoretic approach to extract clusters and hierarchies in complex data-sets in an unsupervised and deterministic manner, without the use of any prior information. This is achieved by building topologically embedded networks containing the subset of most significant links and...
Persistent link: https://www.econbiz.de/10010740170
This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and the Hilbert--Schmidt norm of the cross-covariance...
Persistent link: https://www.econbiz.de/10010783584
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via...
Persistent link: https://www.econbiz.de/10011060807
The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build dynamically Planar Maximally Filtered Graphs from the...
Persistent link: https://www.econbiz.de/10010939153
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from...
Persistent link: https://www.econbiz.de/10010741799
We demonstrate that graphs embedded on surfaces are a powerful and practical tool to generate, characterize and simulate networks with a broad range of properties. Remarkably, the study of topologically embedded graphs is non-restrictive because any network can be embedded on a surface with...
Persistent link: https://www.econbiz.de/10009206988