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Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
Department of Economics, European University Institute, Florence, Italy; Department of Acc. & Finance, Athens University of Economics and Business, Athens, Greece.
IPAG Lab, IPAG Business School, Paris, France; School of Public and Environmental Affairs, Indiana University, Bloomington, United States, USA.
Insper Instituto de Ensino e Pesquisa, Sao Paulo, Brazil.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2017 (English)In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 256, no 3, 945-961 p.Article in journal (Refereed) Published
Abstract [en]

This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects while incorporating agent expectations.

Place, publisher, year, edition, pages
Elsevier, 2017. Vol. 256, no 3, 945-961 p.
Keyword [en]
Finance, Commodity markets, Transfer entropy, Complex network, Centrality
National Category
Transport Systems and Logistics
URN: urn:nbn:se:liu:diva-132502DOI: 10.1016/j.ejor.2016.06.052ISI: 000385601000021OAI: diva2:1046514

Funding Agencies|EU Horizon research and innovation programme under the MS-C Grant [656136]

Available from: 2016-11-14 Created: 2016-11-13 Last updated: 2016-11-21Bibliographically approved

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Uddin, Gazi Salah
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