290 citations · 566 across the 11 of their papers we have counts for
11 papers
Correlations and Flow of Information between The New York Times and Stock Markets
Andrés García-Medina, Leonidas Sandoval Junior, Efraín Urrutia Bañuelos +1
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indi…
Dynamics in two networks based on stocks of the US stock market
Leonidas Sandoval Junior
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks bui…
Structure and causality relations in a global network of financial companies
Leonidas Sandoval Junior
This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them usin…
Survivability and centrality measures for networks of financial market indices
Leonidas Sandoval Junior
Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using…
To lag or not to lag? How to compare indices of stock markets that operate at different times
Leonidas Sandoval Junior
Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether…
Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory
Leonidas Sandoval Junior, Adriana Bruscato, Maria Kelly Venezuela
By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de São Paulo) which are cleaned of some of t…
Cluster formation and evolution in networks of financial market indices
Leonidas Sandoval Junior
Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse…
Pruning a Minimum Spanning Tree
Leonidas Sandoval Junior
This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international st…
A Map of the Brazilian Stock Market
Leonidas Sandoval Junior
We use the correlation matrix of stocks returns in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 20…
Correlation of financial markets in times of crisis
Leonidas Sandoval Junior, Italo De Paula Franca
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linke…
Shocks in financial markets, price expectation, and damped harmonic oscillators
Leonidas Sandoval Junior, Italo De Paula Franca
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order…