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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018
Persistent link: https://www.econbiz.de/10012305837
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10011598385
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Identification of information networks in stock markets
Baltakienė, Margarita; Kanniainen, Juho; Baltakys, … - In: Journal of economic dynamics & control 131 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012818145
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Measuring the information contect of limit order books
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 1-36). 2017
Persistent link: https://www.econbiz.de/10011913344
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Complex interactions in financial markets
Finger, Karl - 2014
Persistent link: https://www.econbiz.de/10011305495
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Computational study of the US stock market evolution : a rank correlation-based network model
Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; … - In: Computational Management Science : CMS 10 (2013) 2/3, pp. 81-103
Persistent link: https://www.econbiz.de/10009757829
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Network centrality and stock market volatility : the impact of communication topologies on prices
Hein, Oliver; Schwind, Michael; Spiwoks, Markus - 2011
Persistent link: https://www.econbiz.de/10008840231
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How does node centrality in a financial network affect asset price prediction?
Xu, Yuhong; Zhao, Xinyao - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014580842
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The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: International review of economics & finance : IREF 84 (2023), pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
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Network Analysis of Search Dynamics : The Case of Stock Habitats
Leung, Alvin - 2016
There is an increasing attention in IS to be able to predict outcomes using search frequency on popular portals. This growing literature focuses on revealing demand patterns of individual assets (e.g., products, stocks, services). However, users typically search many different assets together...
Persistent link: https://www.econbiz.de/10013007584