Change-point Analysis in Financial Networks

@article{Banerjee2019ChangepointAI,
  title={Change-point Analysis in Financial Networks},
  author={Sayantan Banerjee and Kousik Guhathakurta},
  journal={arXiv: Statistical Finance},
  year={2019}
}
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such information flow. It is now an established fact that a stock market crash in one country can have a serious impact on other markets across the globe. It follows that such crashes or critical regimes will affect the network dynamics of the global financial… Expand

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References

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