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cs.CE2022
Modelling Equity Transaction Networks as Bursty Processes
Isobel Seabrook, Paolo Barucca, Fabio Caccioli
Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper…
cs.CE2022★ 3 cited
Structural importance and evolution: an application to financial transaction networks
Isobel Seabrook, Paolo Barucca, Fabio Caccioli
A fundamental problem in the study of networks is the identification of important nodes. This is typically achieved using centrality metrics, which rank nodes in terms of their pos…