Network-centric Indicators for fragility in global financial indices

Samal, Areejit, Kumar, Sunil, Yadav, Yasharth and Chakraborti, Anirban (2021) Network-centric Indicators for fragility in global financial indices. Frontiers in Physics, 8: 624373. pp. 1-11. ISSN 2296-424X

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Over the last 2 decades, financial systems have been studied and analyzed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations between them. Here, we adopt a similar network-based approach to analyze the daily closing prices of 69 global financial market indices across 65 countries over a period of 2000 2014. We study the correlations among the indices by constructing threshold networks superimposed over minimum spanning trees at different time frames. We investigate the effect of critical events in financial markets (crashes and bubbles) on the interaction among the indices by performing both static and dynamic analyses of the correlations. We compare and contrast the structures of these networks during periods of crashes and bubbles, with respect to the normal periods in the market. In addition, we study the temporal evolution of traditional market indicators, various global network measures, and the recently developed edge-based curvature measures. We show that network-centric measures can be extremely useful in monitoring the fragility in the global financial market indices.

Item Type: Article
Keywords: Correlation; Econophysics | Market index | Minimum spanning tree | Networks
Subjects: Social Sciences and humanities > Business, Management and Accounting > Business and International Management
Social Sciences and humanities > Economics, Econometrics and Finance > Banking and Finance
JGU School/Centre: Jindal School of Government and Public Policy
Depositing User: Mr. Syed Anas
Date Deposited: 10 Dec 2021 16:16
Last Modified: 17 Jan 2022 16:11
Official URL:


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