英文标题：
《Graph-based era segmentation of international financial integration》
---
作者：
C\\\'ecile Bastidon, Antoine Parent, Pablo Jensen, Patrice Abry, Pierre
  Borgnat
---
最新提交年份：
2019
---
英文摘要：
  Assessing world-wide financial integration constitutes a recurrent challenge in macroeconometrics, often addressed by visual inspections searching for data patterns. Econophysics literature enables us to build complementary, data-driven measures of financial integration using graphs. The present contribution investigates the potential and interests of a novel 3-step approach that combines several state-of-the-art procedures to i) compute graph-based representations of the multivariate dependence structure of asset prices time series representing the financial states of 32 countries world-wide (1955-2015); ii) compute time series of 5 graph-based indices that characterize the time evolution of the topologies of the graph; iii) segment these time evolutions in piece-wise constant eras, using an optimization framework constructed on a multivariate multi-norm total variation penalized functional. The method shows first that it is possible to find endogenous stable eras of world-wide financial integration. Then, our results suggest that the most relevant globalization eras would be based on the historical patterns of global capital flows, while the major regulatory events of the 1970s would only appear as a cause of sub-segmentation.
---
中文摘要：
评估全球金融一体化是宏观计量经济学中的一个经常性挑战，通常通过目视检查搜索数据模式来解决。经济物理学文献使我们能够利用图表构建互补的、数据驱动的金融一体化度量。本文研究了一种新的三步方法的潜力和利益，该方法结合了几个最先进的程序，以i）计算代表全球32个国家（1955-2015）金融状况的资产价格时间序列多元依赖结构的基于图形的表示；ii）计算5个基于图的指数的时间序列，这些指数描述了图拓扑的时间演化；iii）使用构建在多元多范数全变差惩罚函数上的优化框架，将这些时间演化分段为分段常数时代。该方法首先表明，有可能找到全球金融一体化的内生稳定时代。然后，我们的结果表明，最相关的全球化时代将基于全球资本流动的历史模式，而20世纪70年代的主要监管事件只会作为细分的原因出现。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
--
一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--

---
PDF下载：
-->