| Autor: |
Jeremy Turiel, Paolo Barucca, Tomaso Aste |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
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| Zdroj: |
Entropy, Vol 24, Iss 10, p 1482 (2022) |
| Druh dokumentu: |
article |
| ISSN: |
1099-4300 |
| DOI: |
10.3390/e24101482 |
| Popis: |
We introduce simplicial persistence, a measure of time evolution of motifs in networks obtained from correlation filtering. We observe long memory in the evolution of structures, with a two power law decay regimes in the number of persistent simplicial complexes. Null models of the underlying time series are tested to investigate properties of the generative process and its evolutional constraints. Networks are generated with both a topological embedding network filtering technique called TMFG and by thresholding, showing that the TMFG method identifies high order structures throughout the market sample, where thresholding methods fail. The decay exponents of these long memory processes are used to characterise financial markets based on their efficiency and liquidity. We find that more liquid markets tend to have a slower persistence decay. This appears to be in contrast with the common understanding that efficient markets are more random. We argue that they are indeed less predictable for what concerns the dynamics of each single variable but they are more predictable for what concerns the collective evolution of the variables. This could imply higher fragility to systemic shocks. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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