![](/images/graphics-bg.png)
The Multiplex Dependency Structure of Financial Markets
Joint Authors
Aste, Tomaso
Di Matteo, T.
Musmeci, Nicolò
Nicosia, Vincenzo
Latora, Vito
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-09-20
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Musmeci, Nicolò& Nicosia, Vincenzo& Aste, Tomaso& Di Matteo, T.& Latora, Vito. 2017. The Multiplex Dependency Structure of Financial Markets. Complexity،Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1143745
Modern Language Association (MLA)
Musmeci, Nicolò…[et al.]. The Multiplex Dependency Structure of Financial Markets. Complexity No. 2017 (2017), pp.1-13.
https://search.emarefa.net/detail/BIM-1143745
American Medical Association (AMA)
Musmeci, Nicolò& Nicosia, Vincenzo& Aste, Tomaso& Di Matteo, T.& Latora, Vito. The Multiplex Dependency Structure of Financial Markets. Complexity. 2017. Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1143745
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1143745