290 citations · 566 across the 11 of their papers we have counts for
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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…