Emerging interdependence between stock values during financial crashes
Author
Abstract
Suggested Citation
DOI: 10.1371/journal.pone.0176764
Download full text from publisher
References listed on IDEAS
- Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2015.
"Emergence of statistically validated financial intraday lead-lag relationships,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1375-1386, August.
- Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2014. "Emergence of statistically validated financial intraday lead-lag relationships," Papers 1401.0462, arXiv.org.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
- R. Mantegna, 1999.
"Hierarchical structure in financial markets,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- Rosario N. Mantegna, 1998. "Hierarchical Structure in Financial Markets," Papers cond-mat/9802256, arXiv.org.
- Reigneron, Pierre-Alain & Allez, Romain & Bouchaud, Jean-Philippe, 2011. "Principal regression analysis and the index leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(17), pages 3026-3035.
- Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud, 2010. "Principal Regression Analysis and the index leverage effect," Papers 1011.5810, arXiv.org, revised Feb 2011.
- Elton, Edwin J & Gruber, Martin J, 1971. "Improved Forecasting Through the Design of Homogeneous Groups," The Journal of Business, University of Chicago Press, vol. 44(4), pages 432-450, October.
- M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2007.
"Correlation based networks of equity returns sampled at different time horizons,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 209-217, January.
- M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2006. "Correlation based networks of equity returns sampled at different time horizons," Papers physics/0605251, arXiv.org, revised Apr 2007.
- Plerou, Vasiliki & Gopikrishnan, Parameswaran & Rosenow, Bernd & Amaral, Luis A.N. & Stanley, H.Eugene, 2000. "Econophysics: financial time series from a statistical physics point of view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 279(1), pages 443-456.
- Okyu Kwon & Jae-Suk Yang, 2008. "Information flow between stock indices," Papers 0802.1747, arXiv.org.
- Th'arsis T. P. Souza & Tomaso Aste, 2016. "A nonlinear impact: evidences of causal effects of social media on market prices," Papers 1601.04535, arXiv.org, revised Mar 2016.
- Paweł Fiedor, 2014.
"Information-theoretic approach to lead-lag effect on financial markets,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(8), pages 1-9, August.
- Pawe{l} Fiedor, 2014. "Information-theoretic approach to lead-lag effect on financial markets," Papers 1402.3820, arXiv.org.
- Gualdi, Stanislao & Tarzia, Marco & Zamponi, Francesco & Bouchaud, Jean-Philippe, 2015. "Tipping points in macroeconomic agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 29-61.
- Didier Sornette & Guy Ouillon, "undated". "Dragon-kings: Mechanisms, statistical methods and empirical evidence," Working Papers ETH-RC-12-004, ETH Zurich, Chair of Systems Design.
- Daniel J. Fenn & Mason A. Porter & Stacy Williams & Mark McDonald & Neil F. Johnson & Nick S. Jones, 2010. "Temporal Evolution of Financial Market Correlations," Papers 1011.3225, arXiv.org, revised May 2011.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
- G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004.
"Networks of equities in financial markets,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 38(2), pages 363-371, March.
- G. Bonanno & G. Caldarelli & F. Lillo & S. Micciche` & N. Vandewalle & R. N. Mantegna, 2004. "Networks of equities in financial markets," Papers cond-mat/0401300, arXiv.org.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Steven H. Strogatz, 2001. "Exploring complex networks," Nature, Nature, vol. 410(6825), pages 268-276, March.
- Philippe Curty & Matteo Marsili, 2005. "Phase coexistence in a forecasting game," Papers physics/0506151, arXiv.org, revised Feb 2006.
- Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169, January.
- repec:dau:papers:123456789/10911 is not listed on IDEAS
- Marten Scheffer & Jordi Bascompte & William A. Brock & Victor Brovkin & Stephen R. Carpenter & Vasilis Dakos & Hermann Held & Egbert H. van Nes & Max Rietkerk & George Sugihara, 2009. "Early-warning signals for critical transitions," Nature, Nature, vol. 461(7260), pages 53-59, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Farzan Soleymani & Eric Paquet, 2021. "Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket," Papers 2105.08664, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2016. "Emerging interdependence between stock values during financial crashes," Papers 1611.02549, arXiv.org.
- Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017.
"Do investors trade too much? A laboratory experiment,"
Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
- Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.
- João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017. "Do investors trade too much? A laboratory experiment," Post-Print hal-01244465, HAL.
- Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
- Dion Harmon & Marco Lagi & Marcus A M de Aguiar & David D Chinellato & Dan Braha & Irving R Epstein & Yaneer Bar-Yam, 2015. "Anticipating Economic Market Crises Using Measures of Collective Panic," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
- Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
- Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu, 2017. "Dynamic Portfolio Strategy Using Clustering Approach," PLOS ONE, Public Library of Science, vol. 12(1), pages 1-23, January.
- Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
- Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021.
"Mesoscopic Structure of the Stock Market and Portfolio Optimization,"
Papers
2112.06544, arXiv.org.
- Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," LEM Papers Series 2021/45, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Peng Yue & Qing Cai & Wanfeng Yan & Wei-Xing Zhou, 2020. "Information flow networks of Chinese stock market sectors," Papers 2004.08759, arXiv.org.
- Teh, Boon Kin & Goo, Yik Wen & Lian, Tong Wei & Ong, Wei Guang & Choi, Wen Ting & Damodaran, Mridula & Cheong, Siew Ann, 2015. "The Chinese Correction of February 2007: How financial hierarchies change in a market crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 225-241.
- Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
- Gogas, Periklis & Papadimitriou, Theophilos & Matthaiou, Maria-Artemis, 2016. "Bank supervision using the Threshold-Minimum Dominating Set," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 23-35.
- Lin, Aijing & Shang, Pengjian & Zhong, Bo, 2014. "Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 259-272.
- Sensoy, Ahmet & Tabak, Benjamin M., 2014.
"Dynamic spanning trees in stock market networks: The case of Asia-Pacific,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
- Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Working Papers Series 351, Central Bank of Brazil, Research Department.
- Aoki, Masanao & Hawkins, Raymond, 2009.
"Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-21.
- Hawkins, Raymond & Aoki, Masanao, 2008. "Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures," Economics Discussion Papers 2008-35, Kiel Institute for the World Economy (IfW Kiel).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:plo:pone00:0176764. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: plosone (email available below). General contact details of provider: https://journals.plos.org/plosone/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.