2 papers
physics.soc-ph2016
The multiplex dependency structure of financial markets
Nicoló Musmeci, Vincenzo Nicosia, Tomaso Aste +2
We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of…
q-fin.PM2016
What does past correlation structure tell us about the future? An answer from network filtering
Nicoló Musmeci, Tomaso Aste, Tiziana Di Matteo
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information f…