arXiv subjects

Jose C. Nacher

Publications and source records attributed to Jose C. Nacher.

4 recordsLinked to original sources

arXiv2023

Unveiling the directional network behind the financial statements data using volatility constraint correlation

Financial data, such as financial statements, contain valuable and critical information that may assist stakeholders and investors in optimizing their capital to maximize overall economic growth. Since there are many variables in financial statements, it is crucial to determine the causal relationships, that is, the directional influence between them in a structural way, as well as to understand the associated accounting mechanisms. However, the analysis of variable-to-variable relationships in financial information using standard correlation functions is not sufficient to unveil directionality. Here, we use the volatility constrained correlation (VC correlation) method to predict the directional relationship between two arbitrary variables. We apply the VC correlation method to five significant financial information variables (revenue, net income, operating income, own capital, and market capitalization) of 2321 firms listed on the Tokyo Stock Exchange over 28 years from 1990 to 2018. This study identifies which accounting variables are influential and which are susceptible. Our findings show that operating income is the most influential variable while market capitalization and revenue are the most susceptible variables. Surprisingly, the results differ from the existing intuitive understanding suggested by widely used investment strategy indicators, the price--earnings ratio and the price-to-book ratio, which report that net income and own capital are the most influential variables affecting market capitalization. This analysis may assist managers, stakeholders, and investors to improve financial management performance and optimize firms' financial strategies in future operations.

q-fin.GN↗

arXiv2016

Analytical Solution for the Size of the Minimum Dominating Set in Complex Networks

Domination is the fastest-growing field within graph theory with a profound diversity and impact in real-world applications, such as the recent breakthrough approach that identifies optimized subsets of proteins enriched with cancer-related genes. Despite its conceptual simplicity, domination is a classical NP-complete decision problem which makes analytical solutions elusive and poses difficulties to design optimization algorithms for finding a dominating set of minimum cardinality in a large network. Here we derive for the first time an approximate analytical solution for the density of the minimum dominating set (MDS) by using a combination of cavity method and Ultra-Discretization (UD) procedure. The derived equation allows us to compute the size of MDS by only using as an input the information of the degree distribution of a given network.

physics.soc-ph↗

arXiv2014

Structurally Robust Control of Complex Networks

Robust control theory has been successfully applied to numerous real-world problems using a small set of devices called {\it controllers}. However, the real systems represented by networks contain unreliable components and modern robust control engineering has not addressed the problem of structural changes on a large network. Here, we introduce the concept of structurally robust control of complex networks and provide a concrete example using an algorithmic framework that is widely applied in engineering. The developed analytical tools, computer simulations and real network analyses lead herein to the discovery that robust control can be achieved in scale-free networks with exactly the same order of controllers required in a standard non-robust configuration by adjusting only the minimum degree. The presented methodology also addresses the probabilistic failure of links in real systems, such as neural synaptic unreliability in {\it C. elegans}, and suggests a new direction to pursue in studies of complex networks in which control theory has a role.

physics.soc-ph↗

arXiv2014

Prospect Theory for Online Financial Trading

Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the fact that prospect theory has been well developed in behavioral economics at the theoretical level, there exist very few large-scale empirical studies and most of them have been undertaken with micro-panel data. Here we analyze over 28.5 million trades made by 81.3 thousand traders of an online financial trading community over 28 months, aiming to explore the large-scale empirical aspect of prospect theory. By analyzing and comparing the behavior of winning and losing trades and traders, we find clear evidence of the loss aversion phenomenon, an essence in prospect theory. This work hence demonstrates an unprecedented large-scale empirical evidence of prospect theory, which has immediate implication in financial trading, e.g., developing new trading strategies by minimizing the effect of loss aversion. Moreover, we introduce three risk-adjusted metrics inspired by prospect theory to differentiate winning and losing traders based on their historical trading behavior. This offers us potential opportunities to augment online social trading, where traders are allowed to watch and follow the trading activities of others, by predicting potential winners statistically based on their historical trading behavior rather than their trading performance at any given point in time.

q-fin.TR↗