Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
134 tokens/sec
GPT-4o
9 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Network-centric indicators for fragility in global financial indices (2102.00070v1)

Published 29 Jan 2021 in q-fin.ST and physics.soc-ph

Abstract: Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations between them. Here, we adopt a similar network-based approach to analyse the daily closing prices of 69 global financial market indices across 65 countries over a period of 2000-2014. We study the correlations among the indices by constructing threshold networks superimposed over minimum spanning trees at different time frames. We investigate the effect of critical events in financial markets (crashes and bubbles) on the interactions among the indices by performing both static and dynamic analyses of the correlations. We compare and contrast the structures of these networks during periods of crashes and bubbles, with respect to the normal periods in the market. In addition, we study the temporal evolution of traditional market indicators, various global network measures and the recently developed edge-based curvature measures. We show that network-centric measures can be extremely useful in monitoring the fragility in the global financial market indices.

Summary

We haven't generated a summary for this paper yet.