The multiplex dependency structure of financial markets

Musmeci, Nicoló, Nicosia, Vincenzo, Aste, Tomaso, Di Matteo, Tiziana and Latora, Vito (2017) The multiplex dependency structure of financial markets. Complexity, 2017. pp. 1-13. ISSN 1076-2787

Preview

Text - Published Version Available under License Creative Commons Attribution. Download (7MB) | Preview

Abstract

We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex datasets. In particular, we consider multiplex networks made of four layers corresponding, respectively, to linear, nonlinear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.

Item Type:	Article
Official URL:	https://www.hindawi.com/journals/complexity/
Additional Information:	© 2017 The Authors © CC BY 4.0
Divisions:	Systemic Risk Centre
Subjects:	H Social Sciences > HG Finance
Date Deposited:	13 Nov 2017 15:31
Last Modified:	12 Dec 2024 01:35
URI:	http://eprints.lse.ac.uk/id/eprint/85337

Actions (login required)

View Item