283 citations
- University College LondonGB54 papers
- London School of Economics and Political ScienceGB48 papers
- London Mathematical LaboratoryGB13 papers
- King's College LondonGB10 papers
- London Institute for Mathematical SciencesGB7 papers
- University of ZurichCH5 papers
- Eötvös Loránd UniversityHU4 papers
- IMT School for Advanced Studies LuccaIT4 papers
- Institute for Complex SystemsIT4 papers
- Parmenides FoundationDE4 papers
- Complexity Science HubAT3 papers
- Department of Science and TechnologyIN3 papers
Showing 2014Show all
3 papers · 1 filter
q-fin.ST2014★ 90 cited
Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
Nicolo Musmeci, Tomaso Aste, Tiziana Di Matteo
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activi…
q-fin.GN2014★ 13 cited
Systemic Losses Due to Counter Party Risk in a Stylized Banking System
Annika Birch, Tomaso Aste
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In ou…
q-fin.CP2014★ 31 cited
Measures of Causality in Complex Datasets with application to financial data
Anna Zaremba, Tomaso Aste
This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel general…