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• W2290374128 abstract "We treat financial markets as complex networks. It is commonplace to create a filtered graph (usually a Minimally Spanning Tree) based on an empirical correlation matrix. In our previous studies we have extended this standard methodology by exchanging Pearson’s correlation coefficient with information—theoretic measures of mutual information and mutual information rate, which allow for the inclusion of non-linear relationships. In this study we investigate the time evolution of financial networks, by applying a running window approach. Since information—theoretic measures are slow to converge, we base our analysis on the Hirschfeld-Gebelein-Rényi Maximum Correlation Coefficient, estimated by the Randomized Dependence Coefficient (RDC). It is defined in terms of canonical correlation analysis of random non-linear copula projections. On this basis we create Minimally Spanning Trees for each window moving along the studied time series, and analyse the time evolution of various network characteristics, and their market significance. We apply this procedure to a dataset describing logarithmic stock returns from Warsaw Stock Exchange for the years between 2006 and 2013, and comment on the findings, their applicability and significance." @default.
• W2290374128 created "2016-06-24" @default.
• W2290374128 creator A5031455091 @default.
• W2290374128 date "2015-08-29" @default.
• W2290374128 modified "2023-10-16" @default.
• W2290374128 title "ANALYSIS OF THE TIME EVOLUTION OF NON-LINEAR FINANCIAL NETWORKS" @default.
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• W2290374128 doi "https://doi.org/10.18778/0208-6018.314.09" @default.
• W2290374128 hasPublicationYear "2015" @default.
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