Zobrazeno 1 - 10
of 119
pro vyhledávání: '"Irena Vodenska"'
Autor:
Maryan Rizinski, Hristijan Peshov, Kostadin Mishev, Lubomir T. Chitkushev, Irena Vodenska, Dimitar Trajanov
Publikováno v:
IEEE Access, Vol 10, Pp 97531-97554 (2022)
Rapid technological developments in the last decade have contributed to using machine learning (ML) in various economic sectors. Financial institutions have embraced technology and have applied ML algorithms in trading, portfolio management, and inve
Externí odkaz:
https://doaj.org/article/cc3a4ba0c6f44b088d5e3b4df3ae4344
Publikováno v:
Scientific Reports, Vol 11, Iss 1, Pp 1-12 (2021)
Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter
Externí odkaz:
https://doaj.org/article/e34544dd6712478ab8ba1a2efab23343
Publikováno v:
IEEE Access, Vol 8, Pp 131662-131682 (2020)
Financial and economic news is continuously monitored by financial market participants. According to the efficient market hypothesis, all past information is reflected in stock prices and new information is instantaneously absorbed in determining fut
Externí odkaz:
https://doaj.org/article/04306a91a10046efac0099e73dc76926
Publikováno v:
Entropy, Vol 24, Iss 4, p 562 (2022)
Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses multifractal a
Externí odkaz:
https://doaj.org/article/caf9442526204c51b83b50fd2a66d751
Autor:
Jonathan Barlow, Irena Vodenska
Publikováno v:
Entropy, Vol 23, Iss 6, p 673 (2021)
This paper proposes a dynamic cascade model to investigate the systemic risk posed by sector-level industries within the U.S. inter-industry network. We then use this model to study the effect of the disruptions presented by Covid-19 on the U.S. econ
Externí odkaz:
https://doaj.org/article/d75e7a4a8ac74b3bbace855f0e0a343f
Autor:
Antonio Majdandzic, Lidia A. Braunstein, Chester Curme, Irena Vodenska, Sary Levy-Carciente, H. Eugene Stanley, Shlomo Havlin
Publikováno v:
Nature Communications, Vol 7, Iss 1, Pp 1-10 (2016)
Systems composed of many interacting dynamic networks exhibit complicated collective dynamics. Here, the authors study failure, damage spread and recovery in two interacting networks, constructing the phase diagram and revealing the role of triple po
Externí odkaz:
https://doaj.org/article/fc8b96d3f2864ff4a902932e8c1b4d9a
Autor:
Mario A Bertella, Felipe R Pires, Henio H A Rego, Jonathas N Silva, Irena Vodenska, H Eugene Stanley
Publikováno v:
PLoS ONE, Vol 12, Iss 2, p e0172258 (2017)
Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who ar
Externí odkaz:
https://doaj.org/article/bf519fd4e89d48dba6f28304afd18a47
Autor:
Ana Todorovska, Hristijan Peshov, Ivan Rusevski, Irena Vodenska, Lubomir T. Chitkushev, Dimitar Trajanov
Publikováno v:
Physica A: Statistical Mechanics and its Applications. :128900
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd977703d283c5772290d96ffc7f9661
https://doi.org/10.1016/j.physa.2023.128900
https://doi.org/10.1016/j.physa.2023.128900
Publikováno v:
PLoS ONE, Vol 11, Iss 3, p e0150994 (2016)
We explore the foreign exchange and stock market networks for 48 countries from 1999 to 2012 and propose a model, based on complex Hilbert principal component analysis, for extracting significant lead-lag relationships between these markets. The glob
Externí odkaz:
https://doaj.org/article/f86ddc02424840bca7bef704aa222a71
Publikováno v:
Scientific Reports, Vol 10, Iss 1, Pp 1-12 (2020)
Cascading failures in many systems such as infrastructures or financial networks can lead to catastrophic system collapse. We develop here an intuitive, powerful and simple-to-implement approach for mitigation of cascading failures on complex network
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a4eaba36213d3baced6666cba81ca325
http://link.springer.com/article/10.1038/s41598-020-72771-4
http://link.springer.com/article/10.1038/s41598-020-72771-4