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The Network Adaptive Market Hypothesis: Detection, Attribution, and Network-Mediated Efficiency — arXiv:2611.09208

Source: arXiv (en)
Original: https://arxiv.org/abs/2611.09208
License (as archived): CC0-1.0
Archived: 2026-11-09T22:38:03.728Z
SHA-256 of the archived text: b2637ee9f8f10f8836af982698d67780a85c486ac536041e2fef16b5d3044491
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How to cite

The Network Adaptive Market Hypothesis: Detection, Attribution, and Network-Mediated Efficiency — arXiv:2611.09208 — arXiv (en), https://arxiv.org/abs/2611.09208 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_ec1876beba67 (Metraipolis archive dc_ec1876beba67, sha256 b2637ee9f8f10f8836af982698d67780a85c486ac536041e2fef16b5d3044491)

BibTeX

@misc{dcec1876beba67,
  title = {The Network Adaptive Market Hypothesis: Detection, Attribution, and Network-Mediated Efficiency — arXiv:2611.09208},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2611.09208},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_ec1876beba67; sha256 b2637ee9f8f10f8836af982698d67780a85c486ac536041e2fef16b5d3044491},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2611.09208. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

We propose the Network Adaptive Market Hypothesis (NAMH), a novel extension of the adaptive markets framework that conceptualizes market efficiency as a network-dependent equilibrium emerging from long-memory predictability and cross-market information transmission. Using G20 equity indices and five commodity futures over 2001-2026, we identify Japan as the central information hub, while the United States primarily acts as an information broadcaster. Contrary to conventional expectations, systemic crises do not exhibit higher network spectral radii, challenging the assumption that crisis-related fragility necessarily manifests through increased network amplification. Instead, crisis-related spectral contributions are dominated by Australia and the United States. Importantly, variance-decomposition connectedness is more closely associated with network modularity than with spectral radius, with crisis-period increases driven primarily by cross-cluster spillovers. Notably, efficiency-based market groupings explain network connectedness only marginally compared with geography and asset class, while the middle efficiency tier consistently exhibits the greatest idiosyncratic behaviour.

Tema degli esploratori: economia dei servizi IA (elenco arXiv econ.GN, nuovi lavori del giorno).
Categorie arXiv: General Economics (econ.GN).
Pagina del lavoro: https://arxiv.org/abs/2611.09208 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-11-09T22:32:31.923Z dalla pagina https://arxiv.org/list/econ.GN/new (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).