1.Design a research, write one page report discussing the data and possible research questions.
2.Study one of the following literature and write one page comments.
Choose either 1 or 2 as your homework.
Huang W-Q, Zhuang X-T and Yao S (2009), A network analysis of the Chinese stock market, Physica A: Statistical Mechanics and its Applications. Vol. 388(14), pp. 2956 - 2964.
Iori G, Masi GD, Precup OV, Gabbi G and Caldarelli G (2008), A network analysis of the Italian overnight money market, Journal of Economic Dynamics and Control. Vol. 32(1), pp. 259 - 278.
Gabaix X, Gopikrishnan P, Plerou V and Stanley HE (2003), A theory of power-law distributions in financial market fluctuations, Nature., 05, 2003. Vol. 423(6937), pp. 267-270.
Buldyrev SV, Parshani R, Paul G, Stanley HE and Havlin S (2010), Catastrophic cascade of failures in interdependent networks, Nature., 04, 2010. Vol. 464(7291), pp. 1025-1028. Macmillan Publishers Limited. All rights reserved.
Gał˛ azka M (2011), Characteristics of the Polish Stock Market correlations, International Review of Financial Analysis. Vol. 20(1), pp. 1 - 5.
Tu C (2014), Cointegration-based financial networks study in Chinese stock market, Physica A: Statistical Mechanics and its Applications. Vol. 402, pp. 245 - 254.
Battiston S, Farmer JD, Flache A, Garlaschelli D, Haldane AG, Heesterbeek H, Hommes C, Jaeger C, May R and Scheffer M (2016), Complexity theory and financial regulation, Science. Vol. 351(6275), pp. 818-819. American Association for the Advancement of Science.
Podobnik B, Horvatic D, Petersen AM and Stanley HE (2009), Cross-correlations between volume change and price change, Proceedings of the National Academy of Sciences. Vol. 106(52), pp. 22079-22084.
Zhang W, Li C, Ye Y, Li W and Ngai E (2015), Dynamic Business Network Analysis for Correlated Stock Price Movement Prediction, Intelligent Systems, IEEE., Mar, 2015. Vol. 30(2), pp. 26-33.
in't Veld D and van Lelyveld I (2014), Finding the core: Network structure in interbank markets, Journal of Banking & Finance. Vol. 49, pp. 27 - 40.
Farmer JD and Lo AW (1999), Frontiers of finance: Evolution and efficient markets, Proceedings of the National Academy of Sciences. Vol. 96(18), pp. 9991-9992.
Mantegna RN (1999), Hierarchical structure in financial markets, Eur. Phys. J. B. Vol. 11, pp. 193-197.
Brida JG and Risso WA (2010), Hierarchical structure of the German stock market, Expert Systems with Applications. Vol. 37(5), pp. 3846 - 3852.
Stefan F and Atman A (2015), Is there any connection between the network morphology and the fluctuations of the stock market index?, Physica A: Statistical Mechanics and its Applications. Vol. 419, pp. 630 - 641.
Boss M, Elsinger H, Summer M and Stefan Thurner 4 (2004), Network topology of the interbank market, Quantitative Finance. Vol. 4(6), pp. 677-684. Routledge.
Pozzi F, Di Matteo T and Aste T (2013), Spread of risk across financial markets: better to invest in the peripheries, Scientific Reports., April, 2013. Vol. 3, pp. 1665. The Author(s).
Tumminello M, Miccichè S, Lillo F, Piilo J and Mantegna RN (2011), Statistically Validated Networks in Bipartite Complex Systems, PLOS ONE., 03, 2011. Vol. 6(3), pp. 1-11. Public Library of Science.
Acemoglu D, Ozdaglar A and Tahbaz-Salehi A (2015), Systemic Risk and Stability in Financial Networks, The American Economic Review., 2, 2015. Vol. 105(2), pp. 564-608.
Haldane AG and May RM (2011), Systemic risk in banking ecosystems, Nature., 01, 2011. Vol. 469, pp. 351 EP -. Nature Publishing Group, a division of Macmillan Publishers Limited. All Rights Reserved. SN -.
Kali R and Reyes J (2007), The architecture of globalization: a network approach to international economic integration, Journal of International Business Studies. Vol. 38(4), pp. 595-620.
De Benedictis L and Tajoli L (2011), The World Trade Network, The World Economy. Vol. 34(8), pp. 1417-1454. Blackwell Publishing Ltd.
Caraiani P (2013), Using Complex Networks to Characterize International Business Cycles, PLOS ONE., 03, 2013. Vol. 8(3), pp. 1-13. Public Library of Science.