The Multiplex Dependency Structure of Financial Markets
We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex datasets. In particular, we consider multiplex networks made of four layers corresponding, respectively, to linear, nonlinear, tail, and partial correlations among a set of financial t...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2017/9586064 |
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| _version_ | 1832549003617632256 |
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| author | Nicolò Musmeci Vincenzo Nicosia Tomaso Aste Tiziana Di Matteo Vito Latora |
| author_facet | Nicolò Musmeci Vincenzo Nicosia Tomaso Aste Tiziana Di Matteo Vito Latora |
| author_sort | Nicolò Musmeci |
| collection | DOAJ |
| description | We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex datasets. In particular, we consider multiplex networks made of four layers corresponding, respectively, to linear, nonlinear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure. |
| format | Article |
| id | doaj-art-0bc72526010f4b938dbfdbd7d82594c8 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-0bc72526010f4b938dbfdbd7d82594c82025-02-03T06:12:28ZengWileyComplexity1076-27871099-05262017-01-01201710.1155/2017/95860649586064The Multiplex Dependency Structure of Financial MarketsNicolò Musmeci0Vincenzo Nicosia1Tomaso Aste2Tiziana Di Matteo3Vito Latora4Department of Mathematics, King’s College London, The Strand, London WC2R 2LS, UKSchool of Mathematical Sciences, Queen Mary University of London, Mile End Road, London E1 4NS, UKDepartment of Computer Science, University College London, Gower Street, London WC1E 6BT, UKDepartment of Mathematics, King’s College London, The Strand, London WC2R 2LS, UKSchool of Mathematical Sciences, Queen Mary University of London, Mile End Road, London E1 4NS, UKWe propose here a multiplex network approach to investigate simultaneously different types of dependency in complex datasets. In particular, we consider multiplex networks made of four layers corresponding, respectively, to linear, nonlinear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.http://dx.doi.org/10.1155/2017/9586064 |
| spellingShingle | Nicolò Musmeci Vincenzo Nicosia Tomaso Aste Tiziana Di Matteo Vito Latora The Multiplex Dependency Structure of Financial Markets Complexity |
| title | The Multiplex Dependency Structure of Financial Markets |
| title_full | The Multiplex Dependency Structure of Financial Markets |
| title_fullStr | The Multiplex Dependency Structure of Financial Markets |
| title_full_unstemmed | The Multiplex Dependency Structure of Financial Markets |
| title_short | The Multiplex Dependency Structure of Financial Markets |
| title_sort | multiplex dependency structure of financial markets |
| url | http://dx.doi.org/10.1155/2017/9586064 |
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