A navigation map in the complexity of financial markets
|Tiziana Di Matteo|
King's College London (KCL), Strand, London WC2R2LS, United Kingdom
In this talk I will give a broad overview of the state of the art of our contribution to Econophysics up to now. In particular, I will discuss the two main elements that define the complexity of financial time series: the first is multifractality , which is associated to the behaviour of each single variable and the way it scales in time; the second is the structure of dependency between time series, associated with the collective behaviour of the whole set of variables [2,3]. For the first analysis I will show results on the application of the Generalized Hurst exponent tool and the Empirical Mode Decomposition method [4,5] and for the second application of network-filtered theoretic tools to different sets of financial market data sets [6,7]. In particular I will introduce a new algorithm, the TMFG (Triangulated Maximally Filtered Graph), that is a scalable and adaptable methodology to efficiently extract a planar filtering graph .
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 Won-Min Song, T. Di Matteo, T. Aste, PLoS One 7(3) (2012) e31929.
 F. Pozzi, T. Di Matteo and T. Aste, Scientific Reports 3 (2013) 1665.
 Noemi Nava, T. Di Matteo, T. Aste, "Time-dependent scaling patterns in high frequency financial data", (2014) submitted.
 Noemi Nava, T. Di Matteo, T. Aste,"Anomalous volatility scaling in high frequency financial data", (2015) submitted.
 N. Musmeci, T. Aste, T. Di Matteo "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods", (2015) PLoS ONE 10(3): e0116201.
 N. Musmeci, Tomaso Aste, T. Di Matteo, "Risk diversification: a study of persistence with a filtered correlation-network approach ", (2015) Journal of Network Theory in Finance 1(1), 1-22.
 Guido Previde Massara, T. Di Matteo, T. Aste, "Network Filtering for Big Data: Triangulated Maximally Filtered Graph", (2015) submitted.
Presentation: Invited oral at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Tiziana Di Matteo
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"
Submitted: 2015-09-09 10:23 Revised: 2015-11-07 15:03