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Dynamical macroprudential stress testing using network theory

Levy Carciente, Sary; Kenett, Dror Y.; Avakian, Adam; … - In: Journal of banking & finance 59 (2015), pp. 164-181

Persistent link: https://www.econbiz.de/10011544421

Community analysis of global financial markets

Vodenska, Irena; Becker, Alexander P.; Zhou, Di; … - In: Risks : open access journal 4 (2016) 2, pp. 1-15

We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002-2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchronous and lagged correlations are used as...

Persistent link: https://www.econbiz.de/10011507433

Statistical physics and economic fluctuations

Stanley, H. Eugene; Gabaix, Xavier; Gopikrishnan, … - 2006

Persistent link: https://www.econbiz.de/10009674149

Coupled network approach to predictability of financial market returns and news sentiments

Curme, Chester; Stanley, H. Eugene; Vodenska, Irena - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011403951

Statistical physics and economic fluctuations

Stanley, H. Eugene; Gopikrishnan, Parameswaran; Plerou, … - In: The complex dynamics of economic interaction : essays …, (pp. 109-141). 2004

Persistent link: https://www.econbiz.de/10002415037

Econophysics : what can physicists contribute to economics?

Stanley, H. Eugene (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 335-346

Persistent link: https://www.econbiz.de/10001522881

An introduction to econophysics : correlations and complexity in finance

Mantegna, Rosario N.; Stanley, H. Eugene - 2000

Persistent link: https://www.econbiz.de/10001408614

Quantifying empirical economic fluctuations using the organizing principles of scale invariance and universality

Stanley, H. Eugene; Amaral, Luis A. Nunes; … - In: Empirical science of financial fluctuations : the …, (pp. 3-11). 2002

Persistent link: https://www.econbiz.de/10001679210

Modelling the growth statistics of economic organizations

Amaral, L. A. N.; Gopikrishnan, P.; Plerou, V.; … - In: Empirical science of financial fluctuations : the …, (pp. [313]-320). 2002

Persistent link: https://www.econbiz.de/10001679518

Multilayer information spillover networks : measuring interconnectedness of financial institutions

Wang, Gang-Jin; Yi, Shuyue; Chi, Xie; Stanley, H. Eugene - In: Quantitative finance 21 (2021) 7, pp. 1163-1185

Persistent link: https://www.econbiz.de/10012588034