In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...

This paper reviews the response of the European stock markets to the Brexit referendum. We analyze the correlation of market indices, stock volatility and the special role of stocks from the financial sector. While the impact of the vote was very similar for the stock markets in France, Germany...

Kirman’s “ant model” has been used to characterize the expectation formation of financial investors who are prone to herding. The model’s original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the...

We examine the bipartite graphs of German corporate boards in 1993, 1999 and 2005, and identify cores of directors who are highly central in the entire network while being densely connected among themselves. Germany’s corporate governance has experienced significant changes during this time,...

We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets were focused on stocks from the IT and technology sector around the year 2000, this focus has vanished and the markets have mostly moved towards a focus...

We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock...