Researchers report a method for identifying causal interactions between financial asset prices by determining whether patterns in one asset's price over time can be predicted based on the patterns in another asset's price; the authors tested the method on asset pairs and a network of credit default swaps, finding that the latter is dominated by complex interactions that are neither strictly positive nor negative.
Article #18-19449: "Hidden interactions in financial markets," by Stavros K. Stavroglou, Athanasios A. Pantelous, H. Eugene Stanley, and Konstantin M. Zuev.
MEDIA CONTACT: Stavros K. Stavroglou, University of Liverpool, UNITED KINGDOM; e-mail: stavros.stavroglou@liverpool.ac.uk ; Athanasios A. Pantelous, Monash University, Clayton, AUSTRALIA; tel: +61-399054718; e-mail: athanasios.pantelous@monash.edu ; H. Eugene Stanley, Boston University, MA; tel: 857-891-1941; e-mail: hes@bu.edu
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Proceedings of the National Academy of Sciences