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Paweł Fiedor
(Pawel Fiedor)

Personal Details

First Name:Pawel
Middle Name:
Last Name:Fiedor
Suffix:
RePEc Short-ID:pfi237
http://www.fiedor.eu/pawel

Affiliation

Central Bank of Ireland

Dublin, Ireland
https://www.centralbank.ie/
RePEc:edi:cbigvie (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Fiedor, Pawel & Katsoulis, Petros, 2019. "An Lonn Dubh: A Framework for Macroprudential Stress Testing of Investment Funds," Financial Stability Notes 2/FS/19, Central Bank of Ireland.
  2. Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities, bank sponsors and derivatives," Research Technical Papers 5/RT/19, Central Bank of Ireland.
  3. Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities' use of derivatives: New evidence from Ireland," Financial Stability Notes 3/FS/19, Central Bank of Ireland.
  4. Fiedor, Paweł, 2018. "Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets," ESRB Working Paper Series 72, European Systemic Risk Board.
  5. Alfranseder, Emanuel & Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia & Sobolewski, Paweł, 2018. "Indicators for the monitoring of central counterparties in the EU," ESRB Occasional Paper Series 14, European Systemic Risk Board.
  6. Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia, 2017. "Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market," ESRB Working Paper Series 54, European Systemic Risk Board.
  7. Pawe{l} Fiedor & Artur Ho{l}da, 2014. "Time Evolution of Non-linear Currency Networks," Papers 1409.8609, arXiv.org.
  8. Pawe{l} Fiedor & Odd Magnus Trondrud, 2014. "Predictability of Volatility Homogenised Financial Time Series," Papers 1406.7526, arXiv.org.
  9. Pawe{l} Fiedor, 2014. "Partial Mutual Information Analysis of Financial Networks," Papers 1403.2050, arXiv.org.
  10. Pawe{l} Fiedor, 2014. "Mutual Information Rate-Based Networks in Financial Markets," Papers 1401.2548, arXiv.org.
  11. Pawe{l} Fiedor, 2014. "Maximum Entropy Production Principle for Stock Returns," Papers 1408.3728, arXiv.org.
  12. Pawe{l} Fiedor, 2014. "Information-theoretic approach to lead-lag effect on financial markets," Papers 1402.3820, arXiv.org.
  13. Pawe{l} Fiedor, 2014. "Causal Non-Linear Financial Networks," Papers 1407.5020, arXiv.org.
  14. Pawe{l} Fiedor, 2013. "Frequency Effects on Predictability of Stock Returns," Papers 1310.5540, arXiv.org, revised Nov 2013.
  15. Pawe{l} Fiedor, 2013. "Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis," Papers 1311.4230, arXiv.org.

Articles

  1. Pawe³ Fiedor & Artur Ho³da, 2016. "The Effects Of Bankruptcy On The Predictability Of Price Formation Processes On Warsaw’S Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 32-42, June.
  2. Paweł Fiedor & Artur Hołda, 2015. "The Effects of Bankruptcy on the Structural Complexity of the Price Changes on WSE," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 41.
  3. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
  4. Paweł Fiedor, 2015. "Multiscale Analysis of the Predictability of Stock Returns," Risks, MDPI, vol. 3(2), pages 1-15, June.
  5. 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.
  6. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
    RePEc:eme:jrfpps:v:17:y:2016:i:1:p:93-109 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fiedor, Pawel & Katsoulis, Petros, 2019. "An Lonn Dubh: A Framework for Macroprudential Stress Testing of Investment Funds," Financial Stability Notes 2/FS/19, Central Bank of Ireland.

    Cited by:

    1. Gianstefani, Ilaria & Metadjer, Naoise & Moloney, Kitty, 2023. "Interest Rate Sensitivity of Irish Bond Funds," Financial Stability Notes 10/FS/23, Central Bank of Ireland.
    2. Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023. "Macroprudential stress‑test models: a survey," Bank of England working papers 1037, Bank of England.
    3. Hallissey, Niamh & Killeen, Neill & Wosser, Michael, 2022. "Identifying and assessing systemic risks in Ireland: a review of the Central Bank’s toolkit," Financial Stability Notes 16/FS/22, Central Bank of Ireland.

  2. Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities, bank sponsors and derivatives," Research Technical Papers 5/RT/19, Central Bank of Ireland.

    Cited by:

    1. Hodula, Martin & Libich, Jan, 2023. "Has monetary policy fueled the rise in shadow banking?," Economic Modelling, Elsevier, vol. 123(C).
    2. Zuzana Gric & Jan Janku & Simona Malovana, 2023. "What Drives Sectoral Differences in Currency Derivate Usage in a Small Open Economy? Evidence from Supervisory Data," Working Papers 2023/12, Czech National Bank.

  3. Fiedor, Paweł, 2018. "Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets," ESRB Working Paper Series 72, European Systemic Risk Board.

    Cited by:

    1. Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities, bank sponsors and derivatives," Research Technical Papers 5/RT/19, Central Bank of Ireland.
    2. Kelly, Jane & Myers, Samantha, 2019. "Fixed-rate mortgages: building resilience or generating risk?," Financial Stability Notes 5/FS/19, Central Bank of Ireland.

  4. Alfranseder, Emanuel & Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia & Sobolewski, Paweł, 2018. "Indicators for the monitoring of central counterparties in the EU," ESRB Occasional Paper Series 14, European Systemic Risk Board.

    Cited by:

    1. Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2019. "Multiplex network analysis of the UK over‐the‐counter derivatives market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1520-1544, October.

  5. Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia, 2017. "Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market," ESRB Working Paper Series 54, European Systemic Risk Board.

    Cited by:

    1. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    2. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
    3. Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
    4. Rosati, Simonetta & Vacirca, Francesco, 2019. "Interdependencies in the euro area derivatives clearing network: a multi-layer network approach," Working Paper Series 2342, European Central Bank.
    5. Bianchi, Benedetta, 2021. "Cross-border credit derivatives linkages," ESRB Working Paper Series 115, European Systemic Risk Board.
    6. Fontana, Silvia Dalla & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," SAFE Working Paper Series 255, Leibniz Institute for Financial Research SAFE.
    7. Alfranseder, Emanuel & Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia & Sobolewski, Paweł, 2018. "Indicators for the monitoring of central counterparties in the EU," ESRB Occasional Paper Series 14, European Systemic Risk Board.

  6. Pawe{l} Fiedor & Artur Ho{l}da, 2014. "Time Evolution of Non-linear Currency Networks," Papers 1409.8609, arXiv.org.

    Cited by:

    1. Huang, Wei-Qiang & Yao, Shuang & Zhuang, Xin-Tian & Yuan, Ying, 2017. "Dynamic asset trees in the US stock market: Structure variation and market phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 94(C), pages 44-53.

  7. Pawe{l} Fiedor, 2014. "Partial Mutual Information Analysis of Financial Networks," Papers 1403.2050, arXiv.org.

    Cited by:

    1. 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.

  8. Pawe{l} Fiedor, 2014. "Mutual Information Rate-Based Networks in Financial Markets," Papers 1401.2548, arXiv.org.

    Cited by:

    1. 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).
    2. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    3. khoojine, Arash Sioofy & Han, Dong, 2019. "Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1091-1109.
    4. Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
    5. Gao, Hai-Ling & Mei, Dong-Cheng, 2019. "The correlation structure in the international stock markets during global financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    6. Zeng, Zhi-Jian & Xie, Chi & Yan, Xin-Guo & Hu, Jue & Mao, Zhou, 2016. "Are stock market networks non-fractal? Evidence from New York Stock Exchange," Finance Research Letters, Elsevier, vol. 17(C), pages 97-102.
    7. Zhong, Tao & Peng, Qinke & Wang, Xiao & Zhang, Jing, 2016. "Novel indexes based on network structure to indicate financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 583-594.
    8. Musmeci, Nicoló & Aste, Tomaso & Di Matteo, T., 2015. "Relation between financial market structure and the real economy: comparison between clustering methods," LSE Research Online Documents on Economics 61644, London School of Economics and Political Science, LSE Library.
    9. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    10. Jonathan E. Ogbuabor & Anthony Orji & Gladys C. Aneke & Oyun Erdene-Urnukh, 2016. "Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy," South African Journal of Economics, Economic Society of South Africa, vol. 84(3), pages 364-399, September.
    11. Peng Yue & Yaodong Fan & Jonathan A. Batten & Wei-Xing Zhou, 2020. "Information transfer between stock market sectors: A comparison between the USA and China," Papers 2004.07612, arXiv.org.
    12. Sun, Qingru & Gao, Xiangyun & Zhong, Weiqiong & Liu, Nairong, 2017. "The stability of the international oil trade network from short-term and long-term perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 345-356.
    13. Hosseini, Seyed Soheil & Wormald, Nick & Tian, Tianhai, 2021. "A Weight-based Information Filtration Algorithm for Stock-correlation Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    14. Xue Guo & Hu Zhang & Tianhai Tian, 2018. "Development of stock correlation networks using mutual information and financial big data," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-16, April.
    15. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
    16. Yong Kheng Goh & Haslifah M Hasim & Chris G Antonopoulos, 2018. "Inference of financial networks using the normalised mutual information rate," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-21, February.
    17. Nicoló Musmeci & Tomaso Aste & T Di Matteo, 2015. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-24, March.
    18. 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.
    19. Weibo Li & Wei Liu & Lei Wu & Xue Guo, 2021. "Risk spillover networks in financial system based on information theory," PLOS ONE, Public Library of Science, vol. 16(6), pages 1-20, June.
    20. Qiu, Lu & Yang, Huijie, 2020. "Transfer entropy calculation for short time sequences with application to stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    21. Songtao Wu & Jianmin He & Chao Wang, 2017. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-15, September.
    22. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    23. 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.
    24. Lukun Zheng, 2019. "Using mutual information as a cocitation similarity measure," Scientometrics, Springer;Akadémiai Kiadó, vol. 119(3), pages 1695-1713, June.
    25. A. Q. Barbi & G. A. Prataviera, 2017. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Papers 1711.06185, arXiv.org, revised May 2019.
    26. Liu, Xueyong & Jiang, Cheng, 2020. "The dynamic volatility transmission in the multiscale spillover network of the international stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    27. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
    28. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
    29. Ferreira, Paulo & Almeida, Dora & Dionísio, Andreia & Bouri, Elie & Quintino, Derick, 2022. "Energy markets – Who are the influencers?," Energy, Elsevier, vol. 239(PA).
    30. Dong, Keqiang & Long, Linan & Zhang, Hong & Gao, You, 2018. "The mutual information based minimum spanning tree to detect and evaluate dependencies between aero-engine gas path system variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 248-253.
    31. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
    32. Barbi, A.Q. & Prataviera, G.A., 2019. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 876-885.

  9. Pawe{l} Fiedor, 2014. "Maximum Entropy Production Principle for Stock Returns," Papers 1408.3728, arXiv.org.

    Cited by:

    1. Paweł Fiedor & Artur Hołda, 2015. "The Effects of Bankruptcy on the Structural Complexity of the Price Changes on WSE," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 41.
    2. Paweł Fiedor, 2015. "Multiscale Analysis of the Predictability of Stock Returns," Risks, MDPI, vol. 3(2), pages 1-15, June.
    3. Pawe³ Fiedor & Artur Ho³da, 2016. "The Effects Of Bankruptcy On The Predictability Of Price Formation Processes On Warsaw’S Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 32-42, June.

  10. Pawe{l} Fiedor, 2014. "Information-theoretic approach to lead-lag effect on financial markets," Papers 1402.3820, arXiv.org.

    Cited by:

    1. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
    2. 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).
    3. Paweł Fiedor & Artur Hołda, 2015. "The Effects of Bankruptcy on the Structural Complexity of the Price Changes on WSE," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 41.
    4. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2016. "Emerging interdependence between stock values during financial crashes," Papers 1611.02549, arXiv.org.
    5. Yutong Lu & Gesine Reinert & Mihai Cucuringu, 2023. "Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets," Papers 2302.09382, arXiv.org.
    6. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2017. "Emerging interdependence between stock values during financial crashes," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-15, May.
    7. Stanislaus Maier-Paape & Andreas Platen, 2015. "Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process," Papers 1504.06235, arXiv.org.
    8. 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.
    9. 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.
    10. Paweł Fiedor, 2015. "Multiscale Analysis of the Predictability of Stock Returns," Risks, MDPI, vol. 3(2), pages 1-15, June.
    11. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
    12. Tristan Millington & Mahesan Niranjan, 2020. "Construction of Minimum Spanning Trees from Financial Returns using Rank Correlation," Papers 2005.03963, arXiv.org, revised Nov 2020.
    13. Millington, Tristan & Niranjan, Mahesan, 2021. "Construction of minimum spanning trees from financial returns using rank correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    14. Arnav Hiray & Pratvi Shah & Vishwa Shah & Agam Shah & Sudheer Chava & Mukesh Tiwari, 2023. "Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders," Papers 2307.16874, arXiv.org, revised Jan 2024.
    15. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
    16. Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.

  11. Pawe{l} Fiedor, 2014. "Causal Non-Linear Financial Networks," Papers 1407.5020, arXiv.org.

    Cited by:

    1. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    2. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2016. "Emerging interdependence between stock values during financial crashes," Papers 1611.02549, arXiv.org.
    3. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

  12. Pawe{l} Fiedor, 2013. "Frequency Effects on Predictability of Stock Returns," Papers 1310.5540, arXiv.org, revised Nov 2013.

    Cited by:

    1. Xu, Paiheng & Yin, Likang & Yue, Zhongtao & Zhou, Tao, 2019. "On predictability of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 345-351.
    2. Pawe{l} Fiedor, 2014. "Maximum Entropy Production Principle for Stock Returns," Papers 1408.3728, arXiv.org.
    3. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2016. "Emerging interdependence between stock values during financial crashes," Papers 1611.02549, arXiv.org.
    4. 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.
    5. Paweł Fiedor, 2015. "Multiscale Analysis of the Predictability of Stock Returns," Risks, MDPI, vol. 3(2), pages 1-15, June.
    6. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
    7. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
    8. Pawe³ Fiedor & Artur Ho³da, 2016. "The Effects Of Bankruptcy On The Predictability Of Price Formation Processes On Warsaw’S Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 32-42, June.

Articles

  1. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.

    Cited by:

    1. Charu Sharma & Amber Habib, 2019. "Uncovering networks amongst stocks returns by studying nonlinear interactions in high frequency data of the Indian Stock Market using mutual information," Papers 1903.03407, arXiv.org.
    2. khoojine, Arash Sioofy & Han, Dong, 2019. "Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1091-1109.
    3. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
    4. Charu Sharma & Amber Habib, 2019. "Mutual information based stock networks and portfolio selection for intraday traders using high frequency data: An Indian market case study," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.
    5. Esmalifalak, Hamidreza, 2022. "Euclidean (dis)similarity in financial network analysis," Global Finance Journal, Elsevier, vol. 53(C).
    6. Yong Kheng Goh & Haslifah M Hasim & Chris G Antonopoulos, 2018. "Inference of financial networks using the normalised mutual information rate," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-21, February.
    7. Binghui Li & Yuehan Yang, 2022. "Undirected and Directed Network Analysis of the Chinese Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 1155-1173, October.
    8. 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.
    9. Weibo Li & Wei Liu & Lei Wu & Xue Guo, 2021. "Risk spillover networks in financial system based on information theory," PLOS ONE, Public Library of Science, vol. 16(6), pages 1-20, June.
    10. Marton Gosztonyi, 2021. "A Snapshot of the Ownership Network of the Budapest Stock Exchange," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(3), pages 31-58.
    11. 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.

  2. 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.
    See citations under working paper version above.
  3. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.

    Cited by:

    1. 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.
    2. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
    3. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
    4. Pawe³ Fiedor & Artur Ho³da, 2016. "The Effects Of Bankruptcy On The Predictability Of Price Formation Processes On Warsaw’S Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 32-42, June.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (4) 2013-10-25 2013-11-22 2014-01-17 2014-08-28
  2. NEP-NET: Network Economics (2) 2014-01-17 2014-03-15
  3. NEP-BAN: Banking (1) 2019-08-12
  4. NEP-CTA: Contract Theory and Applications (1) 2018-04-09
  5. NEP-ETS: Econometric Time Series (1) 2014-07-05
  6. NEP-FOR: Forecasting (1) 2014-07-05
  7. NEP-HME: Heterodox Microeconomics (1) 2014-03-15
  8. NEP-MAC: Macroeconomics (1) 2019-04-22
  9. NEP-MST: Market Microstructure (1) 2013-10-25
  10. NEP-TRA: Transition Economics (1) 2013-11-22

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