81 citations · 139 across the 7 of their papers we have counts for
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q-fin.ST2023
Linear and nonlinear causality in financial markets
Haochun Ma, Davide Prosperino, Alexander Haluszczynski +1
Identifying and quantifying co-dependence between financial instruments is a key challenge for researchers and practitioners in the financial industry. Linear measures such as the…
q-fin.ST2017★ 33 cited
Linear and nonlinear market correlations: characterizing financial crises and portfolio optimization
Alexander Haluszczynski, Ingo Laut, Heike Modest +1
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate…