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Volatility forecasting for stock market index based on complex network and hybrid deep learning model
Song, Yuping; Lei, Bolin; Tang, Xiaolong; Li, Chen - In: Journal of forecasting 43 (2024) 3, pp. 544-566
Persistent link: https://www.econbiz.de/10014532346
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012614016
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Cascades in networks and aggregate volatility
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2010
financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of … the supply network determine both whether aggregate volatility disappears as the number of sectors increases (i … aggregate output from its mean) to sector-specific volatility and to the structural properties of the supply network …
Persistent link: https://www.econbiz.de/10008738431
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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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Dispersion in macroeconomic volatility between the core and periphery of the international trade network
Chakrabarti, Anindya S. - 2015
Persistent link: https://www.econbiz.de/10011334566
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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
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Effects of volatility among commodities in the long term : analysis of a complex network
Passos, Marcelo de Oliveira; Tessmann, Mathias Schneid; … - In: Annals of financial economics 15 (2020) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10012643005
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Volatility modeling for currency pairs and stock indices by means of complex networks
Liashenko, Olena; Kravets, Tetyana; Filogina, Anastasiya - In: Mokslo darbai / Vilniaus Universitetas 99 (2020) 2, pp. 20-38
Financial markets are complex systems. Network analysis is an innovative method for improving data sharing and … characterized by a greater variety of volatility patterns than currency ones. At the same time, the cryptocurrency market network …
Persistent link: https://www.econbiz.de/10012318113
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Dispersion in macroeconomic volatility between the core and periphery of the international trade network
Chakrabarti, Anindya S. - In: Journal of economic dynamics & control 88 (2018), pp. 31-50
Persistent link: https://www.econbiz.de/10011973917
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Cascades in Networks and Aggregate Volatility
Acemoglu, Daron - 2010
financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of … the supply network determine both whether aggregate volatility disappears as the number of sectors increases (i … aggregate output from its mean) to sector-specific volatility and to the structural properties of the supply network …
Persistent link: https://www.econbiz.de/10012462141