Stable versus fragile community structures in the correlation dynamics of Chinese industry indices

Nie, Chun-Xiao; Song, Fu-Tie

doi:10.1016/j.chaos.2022.113044

Cited by 3 publications

(1 citation statement)

References 38 publications

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“…The structure and topology of the correlation networks provide valuable insights into the collective behavior of the market, revealing interdependencies and potential contagion pathways that may not be apparent when analyzing individual time series in isolation. Through the utilization of correlation networks, researchers and analysts have the ability to reveal systemic vulnerabilities, patterns of clustered behavior, and emergent phenomena within financial systems [7][8][9]. This approach provides a more comprehensive and interconnected perspective on market dynamics that extends beyond the limitations of individual trajectories.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Turkish Economic News on the Fractality of Borsa Istanbul: A Multidisciplinary Approach

Balcı,

Akgüller,

Batrancea

et al. 2023

Fractal Fract

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This study explores the connection between the fractal dimensions of time series representing sentiments regarding economic news and the fractal dimensions of correlation networks among companies listed in the Borsa Istanbul star section. While there have been many studies on the correlation between different time series, the investigation into the impact of fractal dimensions on correlation networks’ dynamics has been somewhat restricted. This study investigates the correlation networks among companies listed in the Borsa Istanbul Stars segment, employing distance and topological filters. The network fractional dimensions are evaluated using the box counting and information dimension techniques. A convolutional neural network is employed to perform analysis of sentiments regarding on 2020 Turkish economic news. The network is trained on user comments and specifically built to identify fluctuations in news editorials. The Zemberek natural language processing framework is beneficial for data preprocessing. Identical analytical methods are employed to quantify the fractal dimensions of each sentiment time series. Experiments are performed on these measurements using various sliding window widths to ascertain both independence and causality. The findings indicate a substantial correlation between market behavior and the feelings expressed in economic news.

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Section: Introductionmentioning

confidence: 99%

The Impact of Turkish Economic News on the Fractality of Borsa Istanbul: A Multidisciplinary Approach

Balcı,

Akgüller,

Batrancea

et al. 2023

Fractal Fract

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Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices

Nie

2023

Finance Research Letters

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PageRank and Regression as a Two-Step Approach to Analysing a Network of Nasdaq Firms During a Recession: Insights from Minimum Spanning Tree Topology

Tomeczek,

Napiórkowski

2024

GNPJE

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Występowanie wpływowych firm oddziałujących na cały rynek akcji zostało potwierdzone w wielu badaniach bazujących na topologii minimalnych drzew rozpinających. Historycznie, centralne firmy były identyfikowane przede wszystkich na podstawie centralności stopniowej wierzchołków. Niniejszy artykuł przedstawia alternatywną metodę selekcji, stanowiącą połączenie wyników PageRank i klas modularności, która pozwala wyeliminować remisy w rankingach podczas selekcji określonej liczby wierzchołków. Wykorzystano analizę sieciową na podstawie centralności PageRank połączoną z analizą regresji, aby zidentyfikować wpływowe firmy w indeksie Nasdaq-100 podczas trzech ostatnich recesji w Stanach Zjednoczonych. Wykazano zasadność oraz odporność zaproponowanego dwuetapowego podejścia łączącego minimalne drzewa rozpinające z autorską metodą selekcji, które tłumaczy ponad 90% dynamiki indeksu Nasdaq-100. Analiza zidentyfikowała istotne zmiany w topologii podczas globalnego kryzysu finansowego (rola CSCO jako firmy centralnej) oraz pandemii COVID-19 (wspólne ruchy akcji).

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Stable versus fragile community structures in the correlation dynamics of Chinese industry indices

Cited by 3 publications

References 38 publications

The Impact of Turkish Economic News on the Fractality of Borsa Istanbul: A Multidisciplinary Approach

The Impact of Turkish Economic News on the Fractality of Borsa Istanbul: A Multidisciplinary Approach

Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices

PageRank and Regression as a Two-Step Approach to Analysing a Network of Nasdaq Firms During a Recession: Insights from Minimum Spanning Tree Topology

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