Jose De Leon Miranda, Marina Dolfin, George Kapetanios, Leone Leonida
arXiv 10 Feb 2026 · physics.soc-ph
arXiv:2602.10174 · PDF · DOI · OpenAlex · Extracted main text
We introduce a multiscale measure of network instability based on the joint use of Detrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST) filtering. The proposed metric, the Elastic Detrended Cross-Correlation Ratio (Elastic DCCR), is defined as a finite-difference measure of the logarithmic sensitivity of the average MST length to the observation scale. It captures how the structure of cross-correlation networks deforms across different investment horizons. When applied to a network of global equity indices, the Elastic DCCR rises sharply during episodes of financial stress, reflecting increased short-term coordination among investors and a contraction of correlation distances. The measure reveals scale-dependent reconfigurations in network topology that are not visible in single-scale analyses, and highlights clear differences between stressed and stable market regimes. The approach does not assume covariance stationarity and relies only on scale-dependent detrended correlations; as a result, it is broadly applicable to other complex systems in which interaction strength varies with scale.
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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 | Mantegna, R. N (1999) Hierarchical structure in financial markets | 0.811 | 4 | 2 | 100% |
| 2 | Diebold, F. X. and Yilmaz, K. and Barunik, J. and Kocenda, E. and Se… (2014) On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.737 | 3 | 2 | 100% |
| 3 | Podobnik, B. and Stanley, H (2008) Detrended cross-correlation analysis: A new method for analyzing two non-stationary time series | 0.737 | 3 | 2 | 100% |
| Kristoufek2013 | unmatched citation key Kristoufek2013 | 0.644 | 2 | 2 | 100% |
| 5 | Liang Wang and Yong Zhang (2015) Cross-Correlation Analysis of Stock Returns with Detrended Fluctuation Analysis and Detrended Cross-Correlation Analysis | 0.644 | 2 | 2 | 100% |
| 6 | Wei-Xing Zhou and Didier Sornette (2003) The Dependence Structure of Financial Assets in Bull and Bear Markets | 0.644 | 2 | 2 | 100% |
| 7 | Bauwens, L. and Rombouts, J. V. K (2009) Multivariate volatility models: A survey | 0.511 | 2 | 1 | 100% |
| 8 | Diebold, F. X. and Yilmaz (2023) Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.511 | 2 | 1 | 100% |
| 9 | Kritzman, M. and Page, S (2003) The Efficient Frontier: A Return-to-Risk Measure | 0.511 | 2 | 1 | 100% |
| 10 | Tumminello, Michele and Aste, Tomaso and Di Matteo, Tiziana and Mant… (2005) A tool for filtering information in complex systems | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 32 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.