Systemic risk and causality dynamics of the world international shipping market

DOI10.1016/j.physa.2014.07.068zbMath1395.90032OpenAlexW2023801946WikidataQ57194380 ScholiaQ57194380MaRDI QIDQ1783122

Xin Zhang, H. Eugene Stanley, Boris Podobnik, Dror Y. Kenett

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.07.068

zbMATH Keywords

complex networksGranger causality testsystemic riskcorrelation networksBrownian distance

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Transportation, logistics and supply chain management (90B06) Financial applications of other theories (91G80)

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Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets ⋮ A generalization of random matrix theory and its application to statistical physics ⋮ Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods

Cites Work

• Unnamed Item
• Distance covariance in metric spaces
• Brownian distance covariance
• Topological properties of commodities networks
• High-frequency cross-correlation in a set of stocks
• Asset Trees and Asset Graphs in Financial Markets
• Theory of Financial Risk and Derivative Pricing
• Introduction to Econophysics

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