Instability of networks: effects of sampling frequency and extreme fluctuations in financial data

Instability of networks: effects of sampling frequency and extreme fluctuations in financial data

Abstract: What determines the stability of networks inferred from dynamical behavior of a system? Internal and external shocks in a system can destabilize the topological properties of comovement networks. In real-world data, this creates a trade-off between identification of turbulent periods and t...

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Bibliographic Details
Main Authors: Bhachech, J. (Author), Chakrabarti, A. (Author), Chakrabarti, A.S (Author), Kaizoji, T. (Author)
Format: Article
Language:English
Published: Springer Science and Business Media Deutschland GmbH 2022
Subjects:
Comovement
Dynamical behaviors
Economic and social effects
External shocks
Finance
Financial data
High dimensionality
Inferred networks
Internal shocks
Network effects
Random processes
Sampling frequencies
Stability
Stochastic systems
Time series
Topological properties
Topology
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