Now showing items 1-5 of 5
A network-based approach to study returns synchronization of stocks: The case of global equity markets
The synchronization in financial markets has increased during the rise of global markets. Nevertheless, global shocks provoke high levels of returns synchronization that jeopardize market stability. Using correlation-based ...
Equity market description under high and low volatility regimes using maximum entropy pairwise distribution
The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the ...
Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach
We evaluate the environment, society, and corporate governance rating (ESG rating) contribution from a new perspective; the highest ESG rating mitigates the impact of unexpected change in the implied volatility on the ...
The Backbone of the Financial Interaction Network Using a Maximum Entropy Distribution
(World Scientific Publishing Company, 2022-10-19)
We modeled the stocks of the financial system as a set of many interacting like spins derived from binary daily returns. From the empirical observation of these returns, we used a Boltzmann machine to infer a distribution ...
Cheating Modulated by Time Pressure in the Matrix Task
No studies have investigated dishonesty during a time pressure extension greater than that of seconds. The objective was to determine if cheating groups report having completed a larger number of matrices than non-cheating ...