Graph-based era segmentation of international financial integration

Cécile Bastidon (), Antoine Parent, Pablo Jensen, Patrice Abry and Pierre Borgnat

Physica A: Statistical Mechanics and its Applications, 2020, vol. 539, issue C

Abstract: 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.

Keywords: Financial integration; Graph topology; Time segmentation; Multivariate time series; Econophysics (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Graph-based era segmentation of international financial integration (2020)
Working Paper: Graph-based era segmentation of international financial integration (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316346

DOI: 10.1016/j.physa.2019.122877

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