Statistical pairwise interaction model of stock market

Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns. Spin glass models have been applied and gave some valuable results but at the price of restrictive assumptions on the market dynamics or others are agent-based models with rules designed in order to recover some empirical behaviours. Here we show that the pairwise model is actually a statistically consistent model with observed first and second moments of the stocks orientation without making such restrictive assumptions. This is done with an approach based only on empirical data of price returns. Our data analysis of six major indices suggests that the actual interaction structure may be thought as an Ising model on a complex network with interaction strengths scaling as the inverse of the system size. This has potentially important implications since many properties of such a model are already known and some techniques of the spin glass theory can be straightforwardly applied. Typical behaviours, as multiple equilibria or metastable states, different characteristic time scales, spatial patterns, order-disorder, could find an explanation in this picture.Comment: 11 pages, 8 figure

A New Method to Estimate the Noise in Financial Correlation Matrices

Financial correlation matrices measure the unsystematic correlations between stocks. Such information is important for risk management. The correlation matrices are known to be ``noise dressed''. We develop a new and alternative method to estimate this noise. To this end, we simulate certain time series and random matrices which can model financial correlations. With our approach, different correlation structures buried under this noise can be detected. Moreover, we introduce a measure for the relation between noise and correlations. Our method is based on a power mapping which efficiently suppresses the noise. Neither further data processing nor additional input is needed.Comment: 25 pages, 8 figure

The Politicization of the European Union

What are the consequences of EU politicization for the EU and European societies? This book shifts the analytical focus from EU politicization processes to their empirical and normative research on the effects of politicization on public opinion, public discourses, policymaking and European integration

The Politicization of the European Union

What are the consequences of EU politicization for the EU and European societies? This book shifts the analytical focus from EU politicization processes to their empirical and normative research on the effects of politicization on public opinion, public discourses, policymaking and European integration

The effect of trilogues on the European Commission's success in legislative negotiations: A reappraisal

Informal negotiations have become the norm in the European Union legislative process. Yet, researchers are divided over the effects of this change on the European Commission's ability to defend the content of its proposals from modifications by the co-legislators. This article addresses this puzzle by using a fine-grained measure of whether informal negotiations took place which includes trivial agreements, namely legislation adopted in first reading because the co-legislators agree on the content, as a specific category. The results suggest that informal negotiations do not lead to more changes to the Commission's proposals than the formal process. This calls for a better consideration of trivial agreements in studies of the European Union legislative process

The politics of trilogue negotiations : analyzing the relationship between institutions and their representatives in EU legislative policy-making

The adoption of EU legislation requires that the European Parliament (EP) and the Council agree on an identical text, which means that they have to reconcile their respective positions. Nowadays, the negotiations of a common text mostly take place in trilogues, secluded meetings in which representatives of the legislative institutions negotiate an informal compromise that requires a formal adoption by the co-legislators afterwards. In order to reach a compromise, trilogue negotiators have to make concessions, thus deviating from the positions of their institutions. However, they cannot make too many concessions either, otherwise their institutions will refuse their compromises. Against this backdrop, this PhD aims at explaining the concessions made by negotiators in trilogues. I answer this question through a mixed-method research design in which quantitative and qualitative research strands are independently conducted. Theoretically, the principal-agent model provided the framework for understanding the relationship between the co-legislators (as principals) and their representatives in trilogues (as agents). As a main conclusion, this research shows that while agents in trilogues are at the centre of negotiations, the concessions are not dictated by their preferences. On the contrary, both agents are primarily attentive to finding compromises with which both principals can agree. Moreover, the agents seem to develop little new content themselves in trilogues, but mainly make concessions by exchanging between the positions of their principals.(POLS - Sciences politiques et sociales) -- UCL, 202

sj-zip-1-eup-10.1177_14651165241234150 - Supplemental material for The effect of trilogues on the European Commission's success in legislative negotiations: A reappraisal

Supplemental material, sj-zip-1-eup-10.1177_14651165241234150 for The effect of trilogues on the European Commission's success in legislative negotiations: A reappraisal by Thomas Laloux in European Union Politics</p