Análise da relação entre order blocks e medidas de centralidade de ativos financeiros

Abstract

The financial market presents high complexity and strong interconnectivity among assets, being significantly influenced by institutional capital, which plays an important role in price dynamics and market flows. In this context, this study investigates the relationship between macrostructural and microstructural aspects of financial markets by analyzing whether assets occupying similar positions in correlation networks also exhibit similar behaviors related to the formation of order blocks. The adopted methodology consisted of collecting and processing historical data from different financial assets, constructing a correlation matrix, and generating a weighted network representing the relationships among the analyzed assets. Subsequently, centrality measures, including degree, strength, and eigenvector, were applied in order to identify the most relevant assets within the network structure. Afterwards, order block patterns were identified and characterized, allowing comparisons with structural characteristics of the assets. The results indicated that assets with greater structural proximity in the correlation network presented a higher recurrence of similar order block patterns, suggesting the existence of an association between an asset’s structural position and certain behaviors observed in its market microstructure. Furthermore, assets belonging to similar sectors or presenting high levels of correlation exhibited more similar patterns when compared to less connected assets. It is concluded that integrating financial network analysis with market microstructure analysis represents a complementary approach for understanding financial market dynamics, contributing to the interpretation of institutional capital influence on price formation and expanding possibilities for the development of new analytical methodologies.

The financial market presents high complexity and strong interconnectivity among assets, being significantly influenced by institutional capital, which plays an important role in price dynamics and market flows. In this context, this study investigates the relationship between macrostructural and microstructural aspects of financial markets by analyzing whether assets occupying similar positions in correlation networks also exhibit similar behaviors related to the formation of order blocks. The adopted methodology consisted of collecting and processing historical data from different financial assets, constructing a correlation matrix, and generating a weighted network representing the relationships among the analyzed assets. Subsequently, centrality measures, including degree, strength, and eigenvector, were applied in order to identify the most relevant assets within the network structure. Afterwards, order block patterns were identified and characterized, allowing comparisons with structural characteristics of the assets. The results indicated that assets with greater structural proximity in the correlation network presented a higher recurrence of similar order block patterns, suggesting the existence of an association between an asset’s structural position and certain behaviors observed in its market microstructure. Furthermore, assets belonging to similar sectors or presenting high levels of correlation exhibited more similar patterns when compared to less connected assets. It is concluded that integrating financial network analysis with market microstructure analysis represents a complementary approach for understanding financial market dynamics, contributing to the interpretation of institutional capital influence on price formation and expanding possibilities for the development of new analytical methodologies.