Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...

To examine the interdependency and evolution of Pakistan's stock market, we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange (KSE-100) index. Using the minimum spanning tree network-based method, we extend the financial network...

Purpose – The purpose of this paper is to study the correlation structure of the credit spreads. Design/methodology/approach – The minimal spanning tree is used to find the risk center node and the basic correlation structure of the credit spreads. The dynamic copula and pair copula models...

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

<Para ID="Par1">This paper proposes a new algorithm for the minimum spanning tree verification (MSTV) problem in undirected graphs. The MSTV problem is distinct from the minimum spanning tree construction problem. The above problems have been studied extensively, and there exist several papers in the literature...</para>

We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL)...

We evaluate the degree of business cycle interdependence in the global economic network, focusing on the hypothesis that emergent market (EM) economies have decoupled from advanced economies in the recent period of globalization. We employ a novel methodological approach to the study of business...

We examined the time series properties of the foreign exchange market for 1990–2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean...

This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...

This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the...