Invited Speaker---Dr T Radha Ramanan


Associate Professor, School Of Management Studies, National Institute of Technology Calicut, India

Biography: Dr T. Radha Ramanan is currently employed at the National Institute of Technology Calicut as an Associate Professor in School of Management Studies. His areas of interest are Operations Management, Data Analysis, Decision Models, Performance measurement among others. He has produced 5 research scholars and supervising 10 more candidates. He has also guided more than two dozen PG projects. He has published around 15 papers in international journals of repute and more than 50 papers in various international conferences. He is also a reviewer of many international journals.

Speech Title: Elucidation of the Backbone Structure of Cross-market Dependency Network of World Market Indices: A Global Threshold Filtering
Abstract: The multi-tiered cross-market dependency structures among capital market worldwide have a highly complex architecture which makes international portfolio management a challenging exercise. The challenge in recent times has been magnified given that the strengths of linkage structures have increased over the past decades. Understanding the complex interdependencies in a temporal scale and identifying the backbone structure in this interdependent system will aid in unearthing the avenues from where diversification benefits may possibly arise. With this objective in mind, the current study attempts to mathematically formulate the cross-market connectivity into weighted network models, and elucidate the backbone structures by deploying a global threshold filtering approach. The present work investigates the dependency structure based on weekly-data series belonging to forty-three global markets. The weighted networks depicting cross-market relationships are filtered and visually inspected to decipher the significant connectivity structures. The study identifies that average cross-market linkage strengths increased during market stress conditions. The study also identified a disjointed set of markets wherein one can direct the investments to cushion oneself from systemic risk impacts.