Cracow University of Economics
Paweł Fiedor is a PhD candidate at the Cracow University of Economics, and a Postdoctoral Research Fellow at the University of Cape Town. His research interests include econophysics, complex systems studies, and the application of information and network theories to socio-economic systems. Paweł has published papers in high impact international journals such as Physical Review E, but he also has hedge fund industry experience. He is a member of the Royal Economic Society and the IEEE.
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…