Cécile Bastidon, Antoine Parent, Pablo Jensen, Patrice Abry, Pierre Borgnat
arXiv 28 May 2019 · Finance — General · publishedPhysica A Statistical Mechanics and its Applications (2019) · 12 citations (OpenAlex)
arXiv:1905.11842 · PDF · DOI · OpenAlex · Extracted main text
Assessing world-wide financial integration constitutes a recurrent challenge in macroeconometrics, often addressed by visual inspections searching for data patterns. Econophysics literature enables us to build complementary, data-driven measures of financial integration using graphs. The present contribution investigates the potential and interests of a novel 3-step approach that combines several state-of-the-art procedures to i) compute graph-based representations of the multivariate dependence structure of asset prices time series representing the financial states of 32 countries world-wide (1955-2015); ii) compute time series of 5 graph-based indices that characterize the time evolution of the topologies of the graph; iii) segment these time evolutions in piece-wise constant eras, using an optimization framework constructed on a multivariate multi-norm total variation penalized functional. The method shows first that it is possible to find endogenous stable eras of world-wide financial integration. Then, our results suggest that the most relevant globalization eras would be based on the historical patterns of global capital flows, while the major regulatory events of the 1970s would only appear as a cause of sub-segmentation.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | R. N. Mantegna, Hierarchical structure in financial markets, The Eur… (1999) 193–197 | 0.874 | 5 | 2 | 100% |
| 2 | J. Frecon, N. Pustelnik, P. Abry, L. Condat, Fast and on-the-fly app… (2016) 2355–2364 | 0.811 | 4 | 2 | 100% |
| 3 | C. Bastidon, A. Parent, What form did global financial integration t… (2016) | 0.737 | 3 | 2 | 100% |
| 4 | Y. Chen, R. N. Mantegna, A. A. Pantelous, K. M. Zuev, https://doi.or… (2018) http://dx.doi.org/10.1371/journal.pone.0194067 doi:10.1371/journal.pone.0194067. https://doi.org/10.1371/journal.pone.0194067 | 0.511 | 2 | 1 | 100% |
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| 6 | D.-M. Song, M. Tumminello, W.-X. Zhou, R. N. Mantegna, https://link.… (2011) http://dx.doi.org/10.1103/PhysRevE.84.026108 doi:10.1103/PhysRevE.84.026108. https://link.aps.org/doi/10.1103/PhysRevE.84.026108 | 0.511 | 2 | 1 | 100% |
| 7 | M. Tumminello, F. Lillo, R. N. Mantegna, http://www.sciencedirect.co… (2010) http://dx.doi.org/https://doi.org/10.1016/j.jebo.2010.01.004 doi:https://doi.org/10.1016/j.jebo.2010.01.004. http://www.scienced… | 0.511 | 2 | 1 | 100% |
| 8 | X. Xuan, K. Murphy, http://doi.acm.org/10.1145/1273496.1273629Modeli… (2007) http://dx.doi.org/10.1145/1273496.1273629 doi:10.1145/1273496.1273629. http://doi.acm.org/10.1145/1273496.1273629 | 0.511 | 2 | 1 | 100% |
| 9 | G. Bekaert, C. R. Harvey, C. T. Lundblad, S. Siegel, What segments e… (2011) 3841–3890 | 0.511 | 2 | 1 | 100% |
| 10 | G. Bekaert, C. R. Harvey, R. L. Lumsdaine, Dating the integration of… (2002) 203–247 | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 30 scored citations.