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Transfer Entropy between Communities in Complex Financial Networks [PDF]
Entropy, 2019 In this paper, we analyze information flows between communities of financial markets, represented as complex networks. Each community, typically corresponding to a business sector, represents a significant part of the financial market and the detection ...
Jan Korbel, Xiongfei Jiang, Bo Zheng
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Comparing Ising and Spin Glass Dynamics in Financial Markets: A Complex Systems Approach to Asset Interdependence [PDF]
EntropyThis paper analyzes financial market interdependence from a statistical-physics perspective by comparing Ising and spin glass representations of asset interactions.
Irina Georgescu, Jani Kinnunen
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A Network View of Portfolio Optimization Using Fundamental Information
Frontiers in Physics, 2021 This article proposes the use of a novel approach to portfolio optimization, referred to as “Fundamental Networks” (FN). FN is an effective and robust network-based fundamental-incorporated method, and can be served as an alternative to classical mean ...
Xiangzhen Yan +3 more
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Coarse Graining on Financial Correlation Networks
Mathematics, 2022 Community structure detection is an important and valuable task in financial network studies as it forms the basis of many statistical applications such as prediction, risk analysis, and recommendation.
Mehmet Ali Balcı +3 more
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Mutual fund net flows in China: A co-holding network perspective
Frontiers in Physics, 2023 As the largest part of the mutual fund, open-end funds play a critical role in the Chinese mutual fund market. In this work, we construct an undirected weighted fund network of Chinese open-end funds based on the asset co-holding and explore whether ...
Yue Ma, Jichang Zhao, Shan Lu
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Toward Prediction of Financial Crashes with a D-Wave Quantum Annealer
Entropy, 2023 The prediction of financial crashes in a complex financial network is known to be an NP-hard problem, which means that no known algorithm can efficiently find optimal solutions. We experimentally explore a novel approach to this problem by using a D-Wave
Yongcheng Ding +9 more
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The structure of financial networks, and Western Balkan banking systems [PDF]
Ekonomski Anali, 2019 This paper analyses the structure of the part of the global financial network that the banking systems of the Western Balkan countries belong to for the period 2007-2013.
Cvijanović Dražen
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Applied Network Science, 2018 Over the last decades, both advanced and emerging economies have experienced a striking increase in the intra-financial activity across different asset classes and increasingly complex contract types, leading to a far more complex financial system. Until
Chiara Perillo, Stefano Battiston
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The Role of Entropy in Estimating Financial Network Default Impact
Entropy, 2018 Agents in financial networks can simultaneously be both creditors and debtors, creating the possibility that a default may cause a subsequent default cascade. Resolution of unpayable debts in these situations will have a distributional impact.
Michael Stutzer
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Heterogeneous Criticality in High Frequency Finance: A Phase Transition in Flash Crashes
Entropy, 2022 Flash crashes in financial markets have become increasingly important, attracting attention from financial regulators, market makers as well as from the media and the broader audience.
Jeremy D. Turiel, Tomaso Aste
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