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The Multiplex Dependency Structure of Financial Markets

Citations

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Cited by:

  1. Yang, Ming-Yuan & Chen, Zhe-Kai & Hu, Jingwen & Chen, Yiru & Wu, Xin, 2025. "Multidimensional information spillover between cryptocurrencies and China’s financial markets under shocks from stringent government regulations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 100(C).
  2. Xie, Yiwei & Jiao, Feng & Li, Shihan & Liu, Qingfu & Tse, Yiuman, 2022. "Systemic risk in financial institutions: A multiplex network approach," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  3. Wang, Zongrun & Zhu, Huan & Mi, Yunlong, 2025. "Multidimensional risk contagions in commodity markets: A multi-layer information networks method," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  4. Pang, Raymond Ka-Kay & Granados, Oscar M. & Chhajer, Harsh & Legara, Erika Fille T., 2021. "An analysis of network filtering methods to sovereign bond yields during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  5. Chen, Zhang-HangJian & Wu, Wang-Long & Li, Sai-Ping & Bao, Kun & Koedijk, Kees G., 2024. "Social media information diffusion and excess stock returns co-movement," International Review of Financial Analysis, Elsevier, vol. 91(C).
  6. Khomami, Mohammad Mehdi Daliri & Meybodi, Mohammad Reza & Rezvanian, Alireza, 2024. "Exploring social networks through stochastic multilayer graph modeling," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
  7. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  8. Douglas Castilho & Tharsis T. P. Souza & Soong Moon Kang & Jo~ao Gama & Andr'e C. P. L. F. de Carvalho, 2021. "Forecasting Financial Market Structure from Network Features using Machine Learning," Papers 2110.11751, arXiv.org.
  9. Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Elie Bouri, 2023. "Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks," Working Papers 202337, University of Pretoria, Department of Economics.
  10. Gong, Jue & Wang, Gang-Jin & Zhou, Yang & Zhu, You & Xie, Chi & Foglia, Matteo, 2023. "Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  11. Chen, Jiusheng & Wang, Xianning, 2025. "Climate policy uncertainty and the Chinese sectoral stock market: A multilayer network analysis," Economic Systems, Elsevier, vol. 49(1).
  12. Foglia, Matteo & Plakandaras, Vasilios & Gupta, Rangan & Ji, Qiang, 2025. "Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks," Research in International Business and Finance, Elsevier, vol. 74(C).
  13. Foglia, Matteo & Plakandaras, Vasilios & Gupta, Rangan & Bouri, Elie, 2025. "Rare disasters and multilayer spillovers between volatility and skewness in international stock markets over a century of data: The role of geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 101(C).
  14. Krishnagopal, Sanjukta & Bianconi, Ginestra, 2023. "Topology and dynamics of higher-order multiplex networks," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  15. Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
  16. Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
  17. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
  18. Giuseppe Brandi & Ruggero Gramatica & Tiziana Di Matteo, 2019. "Unveil stock correlation via a new tensor-based decomposition method," Papers 1911.06126, arXiv.org, revised Apr 2020.
  19. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  20. Liu, Chengcheng & Tian, Meng & Huang, Bai, 2025. "Volatility spillover dynamics between fintech and traditional financial industries and their rich determinants: New evidence from Chinese listed institutions," International Review of Financial Analysis, Elsevier, vol. 101(C).
  21. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  22. Giuseppe Brandi & T. Di Matteo, 2020. "A new multilayer network construction via Tensor learning," Papers 2004.05367, arXiv.org.
  23. Nava, Noemi & Di Matteo, T. & Aste, Tomaso, 2018. "Dynamic correlations at different time-scales with empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 534-544.
  24. Zhuoqian Liang & Ding Pan & Yuan Deng, 2020. "Research on the Knowledge Association Reasoning of Financial Reports Based on a Graph Network," Sustainability, MDPI, vol. 12(7), pages 1-14, April.
  25. Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2019. "Latent factor models for credit scoring in P2P systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 112-121.
  26. Raymond Ka-Kay Pang & Oscar Granados & Harsh Chhajer & Erika Fille Legara, 2020. "An analysis of network filtering methods to sovereign bond yields during COVID-19," Papers 2009.13390, arXiv.org, revised Feb 2021.
  27. Tristan Millington & Mahesan Niranjan, 2020. "Construction of Minimum Spanning Trees from Financial Returns using Rank Correlation," Papers 2005.03963, arXiv.org, revised Nov 2020.
  28. Lu, Ya-Nan & Li, Sai-Ping & Zhong, Li-Xin & Jiang, Xiong-Fei & Ren, Fei, 2018. "A clustering-based portfolio strategy incorporating momentum effect and market trend prediction," Chaos, Solitons & Fractals, Elsevier, vol. 117(C), pages 1-15.
  29. 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).
  30. Kaizheng Wang & Xiao Xu & Xun Yu Zhou, 2022. "Variable Clustering via Distributionally Robust Nodewise Regression," Papers 2212.07944, arXiv.org, revised Dec 2022.
  31. Jin, Xiu & Liu, Yueli & Yu, Jinming & Chen, Na, 2024. "Extreme risk spillovers in international energy markets: New insights from multilayer networks in the frequency domain," Energy Economics, Elsevier, vol. 139(C).
  32. Zhang, Yue & Chen, Haozhi & He, Xiaolei, 2025. "Assessing systemic importance using multilayer dynamic networks: Evidence from China's stock market," International Review of Economics & Finance, Elsevier, vol. 103(C).
  33. Li, Jing & Xie, Chi & Wang, Gang-Jin & Foglia, Matteo, 2025. "Predicting credit risk in SCF: A novel framework with explainable GraphSAGE based on network integration," International Review of Financial Analysis, Elsevier, vol. 104(PA).
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