point

 

 Remember me

Register  |   Lost password?


Sign up here to let us know if you are interested in joining us for our Introduction to QuantLib Course later in the year.

 

Rosario Mantegna's Blog

New: Backbone of Credit Relationships in the Japanese Credit Market

November 23, 2015 Comments (0)

We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that is statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our...

New: Patterns of Trading Profiles at the Nordic Stock Exchange. A Correlation-Based Approach.

November 23, 2015 Comments (0)

We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping...

New: How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

September 15, 2015 Comments (0)

The degree of correlation among stock returns affects the possibility to diversify the risk of investment, and it plays a major role in financial spillover. During the last decade, the increasing level of correlation observed in financial markets has become a threat to market stability. Here, we analyze high frequency data of stock returns traded at the New York Stock Exchange in the periods 2001-03 and 2011-13. In each period we uncouple the factors contributing to the intraday pattern of...

New: Bank-Firm Credit Network in Japan. An Analysis of a Bipartite Network

July 24, 2014 Comments (0)

We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection algorithm which is identifying communities composed by both banks and firms. We show that the clusters obtained by directly working on the bipartite network carry information about...

New: Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

March 15, 2014 Comments (0)

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower...

New: Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

January 4, 2014 Comments (0)

According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved market efficiency, we investigate whether statistically significant lagged correlation relationships exist in financial markets. We introduce a numerical method to statistically validate links in...

REVISION: Do Firms Share the Same Functional Form of Their Growth Rate Distribution? A Statistical Test

November 24, 2013 Comments (0)

We propose a hypothesis testing procedure to investigate whether the same growth rate distribution is shared by all the firms in a balanced panel or, more generally, whether they share the same functional form for this distribution, without necessarily sharing the same parameters. We apply the test to panels of US and European Union publicly quoted manufacturing firms, both at the sectoral and at the subsectoral NAICS levels. We consider the following null hypotheses about the growth rate...

REVISION: Quantifying Preferential Trading in the e-MID Interbank Market

November 24, 2013 Comments (0)

Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years...

REVISION: Statistically Validated Networks in Bipartite Complex Systems

November 24, 2013 Comments (0)

Many complex systems present an intrinsic bipartite nature and are described and modeled in terms of networks. Bipartite networks are often very heterogeneous in the number of relationships that the elements of one set establish with the elements of the other set and the heterogeneity makes it very difficult to discriminate preferential links between the elements from randomly occurring links reflecting system heterogeneity. Here we introduce an unsupervised method to statistically validate...

REVISION: Quantifying Preferential Trading in the e-MID Interbank Market

October 29, 2013 Comments (0)

Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years...