Dynamics of financial markets and transaction costs: A graph-based study

Felipe Lillo, Rodrigo Valdés

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

3 Citas (Scopus)


In financial markets, trading patterns influence the behaviour of arbitrage, surveillance, risk management and pricing returns. The analysis of these patterns is important for defining policies in financial regulation as well as portfolios of international assets. Using financialization as a conceptual framework to understand the current trading patterns of financial markets, this work employs a market graph model for studying the stock indexes of geographically separated financial markets. By using an edge creation condition based on a transaction cost threshold, the resulting market graph features a strong connectivity, some traces of a power law in the degree distribution and an intensive presence of cliques. Furthermore, an inverse relation between transaction costs and maximal clique size is noticed. The market graph model also indicates that infrastructure, sustainability and commodity indexes from APEC, EU and NAFTA affect the behaviour of markets. As a result, the graph approach shows a consistent set of outcomes that mostly explain the financialization dynamics of markets.

Idioma originalInglés
Páginas (desde-hasta)455-465
Número de páginas11
PublicaciónResearch in International Business and Finance
EstadoPublicada - 1 sept. 2016
Publicado de forma externa


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