Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 256, Issue 3, Pages 945-961Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2016.06.052
Keywords
Finance; Commodity markets; Transfer entropy; Complex network; Centrality
Funding
- EU Horizon research and innovation programme under the MS-C Grant [656136]
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This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects while incorporating agent expectations. (C) 2016 Elsevier B.V. All rights reserved.
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