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Citations for "Hierarchical Structure in Financial Markets"

by Rosario N. Mantegna

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  1. Massimo Bernaschi & Luca Grilli & Davide Vergni, 2002. "Statistical analysis of fixed income market," Quaderni DSEMS lg_physa_2002, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  2. Duan, Wen-Qi & Stanley, H. Eugene, 2011. "Cross-correlation and the predictability of financial return series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 290-296.
  3. Brida, Juan Gabriel & London, Silvia & Risso, Wilson Adrián, 2010. "Economic performance clubs in the Americas: 1955-2003," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
  4. Brida, Juan Gabriel & London, Silvia & Rojas, Mara, 2012. "Desempeño Económico Regional: Un Análisis Dinámico Para El Caso Chileno En El Período 1960-2009
    [Regional Economic Performance: A Dynamic Analysis For The Chilean Case In The Period 1960-2009]
    ," MPRA Paper 39182, University Library of Munich, Germany.
  5. Matesanz, David & Ortega, Guillermo J., 2015. "Sovereign public debt crisis in Europe. A network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 756-766.
  6. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "The role of banks in the Brazilian interbank market: Does bank type matter?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6825-6836.
  7. Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
  8. 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.
  9. Juan Brida & Wiston Risso, 2010. "Dynamics and Structure of the 30 Largest North American Companies," Computational Economics, Society for Computational Economics, vol. 35(1), pages 85-99, January.
  10. Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.
  11. 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.
  12. Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," Papers 1406.0496, arXiv.org, revised Jan 2015.
  13. Luca Grilli, 2004. "Long-Term Fixed-Income Market Structure," Quaderni DSEMS lg_physa_2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  14. Gafiychuk, V.V & Datsko, B.Yo & Izmaylova, J, 2004. "Analysis of data clusters obtained by self-organizing methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 547-555.
  15. Araújo, Tanya & Spelta, Alessandro, 2014. "Structural changes in cross-border liabilities: A multidimensional approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.
  16. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
  17. Wichard, Jörg D. & Merkwirth, Christian & Ogorzałek, Maciej, 2004. "Detecting correlation in stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 308-311.
  18. Antonakakis, Nikolaos & Gogas, Periklis & Papadimitriou, Theophilos & Sarantitis, Georgios, 2015. "International Business Cycle Synchronization Since the 1870s: Evidence from a Novel Network Approach," DUTH Research Papers in Economics 2-2015, Democritus University of Thrace, Department of Economics.
  19. Sun, Xuelian & Liu, Zixian, 2016. "Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 667-679.
  20. repec:dau:papers:123456789/13632 is not listed on IDEAS
  21. Ormerod, Paul, 2008. "Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 2, pages 1-10.
  22. Galazka, Marek, 2011. "Characteristics of the Polish Stock Market correlations," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 1-5, January.
  23. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
  24. Spelta, Alessandro & Araújo, Tanya, 2012. "The topology of cross-border exposures: Beyond the minimal spanning tree approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5572-5583.
  25. 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.
  26. Liu, Li-Zhi & Qian, Xi-Yuan & Lu, Heng-Yao, 2010. "Cross-sample entropy of foreign exchange time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4785-4792.
  27. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics 15/02, University of Canterbury, Department of Economics and Finance.
  28. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW).
  29. Juan Gabriel Brida & Nicolás Garrido & Silvia London, 2011. "Estudio del Desempeño Económico Regional: el caso Argentino," Documentos de Trabajo en Economia y Ciencia Regional 12, Universidad Catolica del Norte, Chile, Department of Economics, revised May 2011.
  30. M. Tumminello & F. Lillo & R. N. Mantegna, 2008. "Correlation, hierarchies, and networks in financial markets," Papers 0809.4615, arXiv.org.
  31. Juan Gabriel Brida & W. Adrian Risso, 2009. "Dynamic and Structure of the Italian stock market based on returns and volume trading," Economics Bulletin, AccessEcon, vol. 29(3), pages 2417-2423.
  32. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  33. Miśkiewicz, Janusz, 2013. "Power law classification scheme of time series correlations. On the example of G20 group," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2150-2162.
  34. Jorge Caiado & Nuno Crato, 2009. "Identifying common dynamic features in stock returns," CEMAPRE Working Papers 0902, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
  35. Gu, Rongbao & Shao, Yanmin, 2016. "How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 150-161.
  36. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  37. Tanya Araújo & Francisco Louçã, 2008. "Bargaining Clouds, or Mathematics as a Metaphoric Exploration of the Unexpected," Working Papers Department of Economics 2008/27, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  38. Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "An Application of Correlation Clustering to Portfolio Diversification," Papers 1511.07945, arXiv.org.
  39. Giorgio Fagiolo, 2010. "The international-trade network: gravity equations and topological properties," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(1), pages 1-25, June.
  40. Ma, Yuan-yuan & Zhuang, Xin-tian & Li, Ling-xuan, 2011. "Research on the relationships of the domestic mutual investment of China based on the cross-shareholding networks of the listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 749-759.
  41. Hannah Cheng & Juan Zhan & William Rea & Alethea Rea, 2016. "Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX," Papers 1603.02354, arXiv.org.
  42. Ersin Kantar & Alper Aslan & Bayram Deviren & Mustafa Keskin, 2014. "Hierarchical structure of the countries based on electricity consumption and economic growth," Papers 1406.6562, arXiv.org, revised Jun 2014.
  43. Durante, Daniele & Dunson, David B., 2014. "Bayesian dynamic financial networks with time-varying predictors," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 19-26.
  44. 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.
  45. David Matesanz Gomez & Guillermo J Ortega & Benno Torgler, 2012. "Synchronization and Diversity in Business Cycles: A Network Approach Applied to the European Union," School of Economics and Finance Discussion Papers and Working Papers Series 277, School of Economics and Finance, Queensland University of Technology.
  46. 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.
  47. Hawkesby, Christian & Marsh, Ian W. & Stevens, Ibrahim, 2007. "Comovements in the equity prices of large complex financial institutions," Journal of Financial Stability, Elsevier, vol. 2(4), pages 391-411, March.
  48. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 266, June.
  49. Lee, Junghoon & Youn, Janghyuk & Chang, Woojin, 2012. "Intraday volatility and network topological properties in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1354-1360.
  50. Linda Margarita Medina Herrera & José Benito Díaz Hernández, 2011. "Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 23-32.
  51. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
  52. Tanya Araujo & Francisco Louçã, 2005. "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises," Working Papers Department of Economics 2005/15, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  53. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
  54. 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.
  55. Yao, Can-Zhong & Lin, Ji-Nan & Liu, Xiao-Feng, 2016. "A study of hierarchical structure on South China industrial electricity-consumption correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 129-145.
  56. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
  57. Alessandro Spelta & Tanya Araújo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Quaderni di Dipartimento 181, University of Pavia, Department of Economics and Quantitative Methods.
  58. Heiberger, Raphael H., 2014. "Stock network stability in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 376-381.
  59. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
  60. Lyocsa, Stefan, 2015. "Predicting changes in the output of OECD countries: An international network perspective," MPRA Paper 65774, University Library of Munich, Germany.
  61. Brida, Juan Gabriel & Matesanz, David & Seijas, Maria Nela, 2016. "Network analysis of returns and volume trading in stock markets: The Euro Stoxx case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 751-764.
  62. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang & Uryasev, Stan, 2016. "A financial network perspective of financial institutions’ systemic risk contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 183-196.
  63. Mai, Yong & Chen, Huan & Meng, Lei, 2014. "An analysis of the sectorial influence of CSI300 stocks within the directed network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 235-241.
  64. Xu, Helian & Cheng, Long, 2016. "The QAP weighted network analysis method and its application in international services trade," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 91-101.
  65. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 227, May.
  66. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
  67. León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014. "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 407-420.
  68. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2014. "A dynamic analysis on global natural gas trade network," Applied Energy, Elsevier, vol. 132(C), pages 23-33.
  69. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
  70. Song, Dong-Ming & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2009. "Statistical properties of world investment networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2450-2460.
  71. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  72. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics: empirical facts," Post-Print hal-00621058, HAL.
  73. Romeil Sandhu & Tryphon Georgiou & Allen Tannenbaum, 2015. "Market Fragility, Systemic Risk, and Ricci Curvature," Papers 1505.05182, arXiv.org.
  74. Alessandro Spelta & Tanya Ara\'ujo, 2011. "The topology of cross-border exposures: beyond the minimal spanning tree approach," Papers 1112.5711, arXiv.org.
  75. Materassi, Donatello & Innocenti, Giacomo, 2009. "Unveiling the connectivity structure of financial networks via high-frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3866-3878.
  76. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
  77. Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
  78. Gautier Marti & S\'ebastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Papers 1603.04017, arXiv.org, revised Apr 2016.
  79. Tse, Chi K. & Liu, Jing & Lau, Francis C.M., 2010. "A network perspective of the stock market," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 659-667, September.
  80. Alexandru Stan, 2015. "A Price Crash Alerting Strategy for Agent-based Artificial Financial Markets," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015, University of Primorska, Faculty of Management Koper.
  81. Wilcox, Diane & Gebbie, Tim, 2007. "An analysis of cross-correlations in an emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 584-598.
  82. Vizgunov, A. & Goldengorin, B. & Zamaraev, V. & Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2012. "Applying Market Graphs for Russian Stock Market Analysis," Journal of the New Economic Association, New Economic Association, vol. 15(3), pages 66-81.
  83. 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.
  84. Nicoló Musmeci & Tomaso Aste & T. Di Matteo, 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.
  85. BRIDA, Juan Gabriel & GARRIDo, Nicolas & MUREDDU, Francesco, 2014. "Club Performance Dynamics At Italian Regional Level," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 14(1), pages 47-68.
  86. Delphine Lautier & Julien Ling & Franck Raynaud, 2014. "Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?," Post-Print hal-01275562, HAL.
  87. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
  88. 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.
  89. Chen, Xing & Zhao, Ru-lan & Zhang, Zi-ke & Zhao, Jing, 2016. "Network-based study on the relationship between arms exports and foreign policies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 194-204.
  90. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation," Papers cond-mat/0101371, arXiv.org.
  91. Gautier Marti & Frank Nielsen & Philippe Donnat & S\'ebastien Andler, 2016. "On clustering financial time series: a need for distances between dependent random variables," Papers 1603.07822, arXiv.org.
  92. Champagne, Claudia, 2014. "The international syndicated loan market network: An “unholy trinity”?," Global Finance Journal, Elsevier, vol. 25(2), pages 148-168.
  93. Lee, Sangwook & Kim, Min Jae & Lee, Sun Young & Kim, Soo Yong & Ban, Joon Hwa, 2013. "The effect of the subprime crisis on the credit risk in global scale," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2060-2071.
  94. Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli, 2015. "Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations," Papers 1504.00590, arXiv.org.
  95. Tiago Trancoso, 2013. "Global macroeconomic interdependence: a minimum spanning tree approach," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 5(1), pages 179-189, June.
  96. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler & German Dabat, 2011. "Co-movements in commodity prices: A note based on network analysis," CREMA Working Paper Series 2011-21, Center for Research in Economics, Management and the Arts (CREMA).
  97. Alessandro Spelta & Tanya Ara\'ujo, 2012. "Interlinkages and structural changes in cross-border liabilities: a network approach," Papers 1205.5675, arXiv.org.
  98. 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.
  99. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
  100. Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
  101. Radhakrishnan, Srinivasan & Duvvuru, Arjun & Sultornsanee, Sivarit & Kamarthi, Sagar, 2016. "Phase synchronization based minimum spanning trees for analysis of financial time series with nonlinear correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 259-270.
  102. Miśkiewicz, Janusz & Ausloos, Marcel, 2010. "Has the world economy reached its globalization limit?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 797-806.
  103. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.
  104. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity- International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
  105. Nie, Chun-Xiao & Song, Fu-Tie & Li, Sai-Ping, 2016. "Rényi indices of financial minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 883-889.
  106. Jochen Papenbrock & Peter Schwendner, 2015. "Handling risk-on/risk-off dynamics with correlation regimes and correlation networks," Financial Markets and Portfolio Management, Springer, vol. 29(2), pages 125-147, May.
  107. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  108. Maharaj, Elizabeth Ann & D’Urso, Pierpaolo, 2010. "A coherence-based approach for the pattern recognition of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3516-3537.
  109. Hu, Sen & Yang, Hualei & Cai, Boliang & Yang, Chunxia, 2013. "Research on spatial economic structure for different economic sectors from a perspective of a complex network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3682-3697.
  110. Bertram, William K., 2008. "Measuring time dependent volatility and cross-sectional correlation in Australian equity returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3183-3191.
  111. He, Ling-Yun & Chen, Shu-Peng, 2011. "A new approach to quantify power-law cross-correlation and its application to commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3806-3814.
  112. Theophilos Papadimitriou & Periklis Gogas & Benjamin M. Tabak, 2013. "Complex Networks and Banking Systems Supervision," Working Papers Series 306, Central Bank of Brazil, Research Department.
  113. Wang, Junjie & Zhou, Shuigeng & Guan, Jihong, 2011. "Characteristics of real futures trading networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 398-409.
  114. Aoki, Masanao & Hawkins, Raymond, 2009. "Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-21.
  115. Roehner, Bertrand M., 2005. "Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 613-625.
  116. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.
  117. Marya Bazzi & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2014. "Community detection in temporal multilayer networks, and its application to correlation networks," Papers 1501.00040, arXiv.org, revised Feb 2015.
  118. Fabrizio Lillo & Giovanni Bonanno & Rosario N. Mantegna, 2001. "Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis," Papers cond-mat/0104362, arXiv.org.
  119. Thomas Lux, 2008. "Applications of Statistical Physics in Finance and Economics," Kiel Working Papers 1425, Kiel Institute for the World Economy.
  120. Jenna Birch & Athanasios A. Pantelous & Kimmo Soramäki, 2016. "Analysis of Correlation Based Networks Representing DAX 30 Stock Price Returns," Computational Economics, Society for Computational Economics, vol. 47(4), pages 501-525, April.
  121. Bury, Thomas, 2013. "Market structure explained by pairwise interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1375-1385.
  122. 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.
  123. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
  124. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
  125. Raddant, Matthias & Wagner, Friedrich, 2014. "Transitions in the stock markets of the US, UK, and Germany," Kiel Working Papers 1979, Kiel Institute for the World Economy (IfW).
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