Leonidas Sandoval Junior

TL;DR: In this paper, the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world were used to investigate financial market crises that occurred in the years 1987 (Black Monday), 1998 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis).

TL;DR: This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory using rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships.

TL;DR: In this article, the authors used 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 using Transfer Entropy, which is calculated using stocks of those companies and their counterparts lagged by one day.

TL;DR: In this paper, the authors used 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 indices during 10 months along the period 2015-2016.

TL;DR: In this paper, a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations is used to analyze the reaction of financial markets to shocks, and the results gauge the efficiency of different markets in recovering from such shocks and measure some level of dependence between them.