Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets

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dc.contributor.authorBekiros, Stelios
dc.contributor.authorNguyen, Duc Khuong
dc.contributor.authorSandoval Junior, Leonidas
dc.contributor.authorUddin, Gazi Salah
dc.coverage.paisNão Informadopt_BR
dc.creatorBekiros, Stelios
dc.creatorNguyen, Duc Khuong
dc.creatorSandoval Junior, Leonidas
dc.creatorUddin, Gazi Salah
dc.date.accessioned2024-01-09T18:59:57Z
dc.date.available2024-01-09T18:59:57Z
dc.date.issued2017
dc.description.otherThis paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects while incorporating agent expectations.pt_BR
dc.format.extentp. 945-961pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.ejor.2016.06.052pt_BR
dc.identifier.issn0377-2217pt_BR
dc.identifier.issue3pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/6328
dc.identifier.volume256pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofEuropean Journal of Operational Researchpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsFinancept_BR
dc.subject.keywordsCommodity marketspt_BR
dc.subject.keywordsTransfer entropypt_BR
dc.subject.keywordsComplex networkpt_BR
dc.subject.keywordsCentralitypt_BR
dc.titleInformation diffusion, cluster formation and entropy-based network dynamics in equity and commodity marketspt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0377221716304921
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR

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