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Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information
16 references·0 citing·45 second hop
Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information (2019)Network analysis of the Chinese stock mar…Power-law distributions in empirical data (2018)Power-law distributions in em…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Topological properties of stock market networks: The case of Brazil (2010)Topological properties of sto…Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market (2010)Dominating Clasp of the Finan…Correlation, hierarchies, and networks in financial markets (2010)Correlation, hierarchies, and…Power-Law Distributions in Empirical Data (2009)Power-Law Distributions in Em…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…A network analysis of the Chinese stock market (2009)A network analysis of the Chi…A tool for filtering information in complex systems (2005)A tool for filtering informat…Asset Trees and Asset Graphs in Financial Markets (2003)Asset Trees and Asset Graphs …Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Industry costs of equity (1997)Industry costs of equityChaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Factoring and weighting approaches to status scores and clique identification (1972)Factoring and weighting appro…A New Status Index Derived from Sociometric Analysis (1953)Direct Factor Analysis in Sociometry (1961)Power and Centrality: A Family of Measures (1987)A Relational View of Information Seeking and Learning in Social Networks (2003)Dynamic spread of happiness in a large social network: longitudinal analysis over 20 years in the Framingham Heart Study (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Statistical physics of human cooperation (2017)How popular is your paper? An empirical study of the citation distribution (1998)A Brief History of Generative Models for Power Law and Lognormal Distributions (2004)Power laws, Pareto distributions and Zipf's law (2005)Friendship and mobility (2011)The Network Origins of Aggregate Fluctuations (2012)Weaponized Interdependence: How Global Economic Networks Shape State Coercion (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multifactor Explanations of Asset Pricing Anomalies (1996)How do family ownership, control and management affect firm value? (2005)Measuring Geopolitical Risk (2022)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Investigating the structure of semantic networks in low and high creative persons (2014)Multifractal analysis of financial markets: a review (2019)Investigating the performance of exploratory graph analysis and traditional techniques to identify the number of latent factors: A simulation and tutorial. (2020)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Extreme Value Theory (2006)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Systemic Risk and Stability in Financial Networks (2015)CoVaR (2016)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)
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References

  • 2009Power-Law Distributions in Empirical Data8,536 cited
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  • 1997Industry costs of equity5,793 cited
  • 1972Factoring and weighting approaches to status scores and clique identification3,212 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1999Hierarchical structure in financial markets2,104 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2010Correlation, hierarchies, and networks in financial markets381 cited
  • 2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market362 cited
  • 2009A network analysis of the Chinese stock market315 cited
  • 2003Asset Trees and Asset Graphs in Financial Markets185 cited

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  • 2010Topological properties of stock market networks: The case of Brazil157 cited
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