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Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach

Author

Listed:
  • Paolo Massimo Buscema

    (Semeion, Research Center of Sciences of Communication
    University of Colorado)

  • Francesca Della Torre

    (Semeion Research Center)

  • Giulia Massini

    (Semeion Research Center)

  • Guido Ferilli

    (IULM University)

  • Pier Luigi Sacco

    (IULM University
    metaLAB)

Abstract

In this paper we study the interdependences between the dynamics of the stock market indexes of 30 different stock markets across 29 different countries to analyze the nonlinear dynamics of their information flows. We find that the system exhibits complex dynamic properties that go beyond what has been generally found in the previous literature, suggesting that the structure of information flows is regulated by subtle homeostatic forces that cause the roles of the single markets in the whole network to evolve in unexpected ways. We present a toolkit of ANN-based methods that can be systematically deployed to analyze different aspects of such dynamics.

Suggested Citation

  • Paolo Massimo Buscema & Francesca Della Torre & Giulia Massini & Guido Ferilli & Pier Luigi Sacco, 2023. "Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 49-89, June.
    • Handle: RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10267-1
    DOI: 10.1007/s10614-022-10267-1
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock market indexes; Global financial markets; Information flows; Artificial Neural Networks; Complex economic dynamics;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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