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Systematic analysis of group identification in stock markets
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Cited by:
- Baek, Seung Ki & Kim, Jonghoon & Lee, Song Sub & Jo, Woo Seong & Kim, Beom Jun, 2020. "Co-sponsorship analysis of party politics in the 20th National Assembly of Republic of Korea," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
- James, Nick & Menzies, Max & Chin, Kevin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
- Lim, Kyuseong & Kim, Min Jae & Kim, Sehyun & Kim, Soo Yong, 2014. "Statistical properties of the stock and credit market: RMT and network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 66-75.
- Grigory Bautin & Valery Kalyagin & Alexander Koldanov & Petr Koldanov & Panos Pardalos, 2013. "Simple measure of similarity for the market graph construction," Computational Management Science, Springer, vol. 10(2), pages 105-124, June.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2023.
"Synchronization patterns in the European Union,"
Applied Economics, Taylor & Francis Journals, vol. 55(18), pages 2038-2059, April.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization Patterns in the European Union," LEM Papers Series 2019/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization Patterns in the European Union," GREDEG Working Papers 2019-30, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization Patterns in the European Union," Documents de Travail de l'OFCE 2019-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization patterns in the European Union," Working Papers hal-03403185, HAL.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization patterns in the European Union," SciencePo Working papers Main halshs-02375416, HAL.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization patterns in the European Union," SciencePo Working papers Main hal-03403185, HAL.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization patterns in the European Union," Working Papers halshs-02375416, HAL.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2022. "Synchronization patterns in the European Union," SciencePo Working papers Main hal-04531116, HAL.
- Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2022. "Synchronization patterns in the European Union," Post-Print hal-04531116, HAL.
- Siew Ann Cheong, 2013. "Econophysics: An Experimental Course for Advanced Undergraduates in the Nanyang Technological University," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 79-99, July.
- repec:spo:wpmain:info:hdl:2441/5q8fnecj1u87ka099dc571bhi2 is not listed on IDEAS
- Eom, Cheoljun & Jung, Woo-Sung & Kaizoji, Taisei & Kim, Seunghwan, 2009.
"Effect of changing data size on eigenvalues in the Korean and Japanese stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4780-4786.
- Cheoljun Eom & Woo-Sung Jung & Taisei Kaizoji & Seunghwan Kim, 2008. "Effect of changing data size on eigenvalues in the Korean and Japanese stock markets," Papers 0811.4021, arXiv.org, revised Jun 2009.
- Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
- James, Nick & Menzies, Max, 2023. "Collective infectivity of the pandemic over time and association with vaccine coverage and economic development," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
- Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
- Sitabhra Sinha, 2014. "The Importance of Community," Studies in Microeconomics, , vol. 2(1), pages 49-61, June.
- 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.
- Libin Yang & William Rea & Alethea Rea, 2017. "Impending Doom: The Loss of Diversification before a Crisis," IJFS, MDPI, vol. 5(4), pages 1-13, November.
- Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
- Lončarski, Igor & Vidovič, Luka, 2019. "Sorting out the financials: Making economic sense out of statistical factors," Finance Research Letters, Elsevier, vol. 31(C), pages 110-118.
- Jarosław Kwapień & Sylwia Gworek & Stanisław Drożdż & Andrzej Górski, 2009. "Analysis of a network structure of the foreign currency exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 55-72, June.
- Libin Yang & William Rea & Alethea Rea, 2015. "Stock Selection with Principal Component Analysis," Working Papers in Economics 15/03, University of Canterbury, Department of Economics and Finance.
- repec:hal:spmain:info:hdl:2441/5q8fnecj1u87ka099dc571bhi2 is not listed on IDEAS
- Nick James & Max Menzies & Kevin Chin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Papers 2203.15911, arXiv.org, revised Sep 2022.
- Tetsuya Takaishi, 2016. "Dynamical cross-correlation of multiple time series Ising model," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 455-468, December.
- Christoly Biely & Stefan Thurner, 2008.
"Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 705-722.
- Christoly Biely & Stefan Thurner, 2006. "Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series," Papers physics/0609053, arXiv.org.
- Libin Yang & William Rea & Alethea Rea, 2015.
"How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange,"
Papers
1512.06486, arXiv.org.
- Libin Yang & William Rea & Alethea Rea, 2015. "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics 15/07, University of Canterbury, Department of Economics and Finance.
- Khashanah, Khaldoun & Yang, Hanchao, 2016. "Evolutionary systemic risk: Fisher information flow metric in financial network dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 318-327.
- Chakrabarti, Anindya S., 2016. "Cross-correlation patterns in social opinion formation with sequential data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 442-454.
- James, Nick, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
- Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley, 2013. "Systemic risk and spatiotemporal dynamics of the US housing market," Papers 1306.2831, arXiv.org.
- Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.
- Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
- Fricke, Daniel, 2012.
"Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542.
- Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Kiel Working Papers 1766, Kiel Institute for the World Economy (IfW Kiel).
- Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
- Hao Meng & Wen-Jie Xie & Wei-Xing Zhou, 2015. "Club Convergence of House Prices: Evidence from China's Ten Key Cities," Papers 1503.05550, arXiv.org.
- Bommarito, Michael J. & Duran, Ahmet, 2018. "Spectral analysis of time-dependent market-adjusted return correlation matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 273-282.
- Libin Yang & William Rea & Alethea Rea, 2015. "Can PCA Structure Changes Indicate that it is Time to Trade?," Working Papers in Economics 15/13, University of Canterbury, Department of Economics and Finance.
- Wang, Yanli & Li, Huajiao & Guan, Jianhe & Liu, Nairong, 2019. "Similarities between stock price correlation networks and co-main product networks: Threshold scenarios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 66-77.
- 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.
- James, Nick & Menzies, Max & Gottwald, Georg A., 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
- Libin Yang & William Rea & Alethea Rea, 2017. "Financial Insights from the Last Few Components of a Stock Market PCA," IJFS, MDPI, vol. 5(3), pages 1-12, July.
- Nick James & Max Menzies, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Papers 2307.15402, arXiv.org, revised Sep 2023.
- Libin Yang & William Rea & Alethea Rea, 2015.
"Identifying Highly Correlated Stocks Using the Last Few Principal Components,"
Working Papers in Economics
15/08, University of Canterbury, Department of Economics and Finance.
- Libin Yang & William Rea & and Alethea Rea, 2015. "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Papers 1512.03537, arXiv.org.
- Nick James, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Papers 2101.00576, arXiv.org, revised Feb 2021.
- Nick James & Max Menzies & Georg A. Gottwald, 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Papers 2202.10623, arXiv.org, revised Jun 2022.
- Chen, Huan & Mai, Yong & Li, Sai-Ping, 2014. "Analysis of network clustering behavior of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 360-367.
- Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
- James, Nick & Chin, Kevin, 2022. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
- Thomas Lux & Duc Thi Luu & Boyan Yanovski, 2020. "An analysis of systemic risk in worldwide economic sentiment indices," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 909-928, November.
- Nick James & Max Menzies, 2023. "Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies," Papers 2304.08902, arXiv.org, revised Jun 2023.
- Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
- James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
- Wang, Gang-Jin & Xie, Chi & Han, Feng & Sun, Bo, 2012. "Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4136-4146.
- Casarin Roberto & Peruzzi Antonio, 2024. "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 379-402, April.
- Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.
- Sitabhra Sinha & Raj Kumar Pan, 2007. "Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE," Papers 0704.2115, arXiv.org.
- Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma, 2009. "Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations," Papers 0912.1985, arXiv.org, revised Nov 2010.
- Miśkiewicz, Janusz & Ausloos, Marcel, 2008. "Correlation measure to detect time series distances, whence economy globalization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6584-6594.
- Stanislav S Borysov & Alexander V Balatsky, 2014. "Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-11, August.
- Luu, Duc Thi & Yanovski, Boyan & Lux, Thomas, 2018. "An analysis of systematic risk in worldwide econonomic sentiment indices," Economics Working Papers 2018-03, Christian-Albrechts-University of Kiel, Department of Economics.