The Multiplex Dependency Structure of Financial Markets

Figure 2

Multidegrees reveal the different role of industrial sectors during crises. The plots of the average multidegree of the nodes of the same industrial sector restricted to edges existing exclusively on the (a) Pearson, (b) Kendall, (c) Tail, and (d) Partial layers clearly show that some dependence measures can reveal structures which are unnoticed by other measures. In particular, the plot of the average multidegree associated with edges existing on at least one layer among Kendall, Tail, and Partial, but not on Pearson (panel (e)), reveals that Pearson correlation does not capture many important features such as the prominent role of Basic Materials, Financial, Consumer Goods, and Industrials during crises and the increasing importance of Technology and Consumer Services after the 2007-2008 crisis.

(a) Pearson (Kendall Tail Partial)

(b) Kendall (Pearson Tail Partial)

(c) Tail (Pearson Kendall Partial)

(d) Partial (Pearson Kendall Tail)

(e) (Kendall Tail Partial) Pearson