The Multiplex Dependency Structure of Financial Markets

Figure 3

Average node degree as a proxy of the importance of an industry. The plots of average degree of the nodes belonging to the different industrial sectors restricted to the (a) Pearson, (b) Kendall, (c) Tail, and (d) Partial layers and of the average overlapping degree reported in panel (e) confirm the relative importance of Financials. However, the average participation coefficient (panel (f)) suggests that the dependence structure of some sectors such as Basic Materials, Industrials, and Oil & Gas has become more heterogeneous, that is, focusing only on a subset of the four layers, after the 2007-2008 crisis.

(a) Degree Pearson

(b) Degree Kendall

(c) Degree Tail

(d) Degree Partial

(e) Overlapping degree

(f) Participation coefficient