A Thresholded Graph Connectivity Factor, the Jump Effect in Quantile Pricing, Phase Transition Breakup Points, and the Beta Premium

A Thresholded Graph Connectivity Factor, the Jump Effect in Quantile Pricing, Phase Transition Breakup Points, and the Beta Premium | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Article A Thresholded Graph Connectivity Factor, the Jump Effect in Quantile Pricing, Phase Transition Breakup Points, and the Beta Premium Qiyu Wang This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-6524713/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract We construct a sparse graph connectivity pricing factor, derive its jump effects and discover its implementations. The jump effects of the connectivity factor are inspired by the shrinkage graph node composition from the factor model and verified by the accumulative distribution of a node over a threshold. Depending on its characteristics, we imply this factor in quantile asset pricing and utilize jump-inducing hedging opportunities indicated by connectivity break-up points. In order to explain the usual asset pricing, we also construct a high/low beta facor in the Fama-French way and implement the usual long-short hedging strategy. Business and commerce/Finance Humanities/Complex networks Social science/Complex networks Social science/Finance sparse Gaussian graph model graph connectivity factor distribution high/low graph connectivity beta factor asset pricing & quantile asset pricing breakpoints hedge strategies Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-6524713","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Article","associatedPublications":[],"authors":[{"id":494226549,"identity":"b326f669-502d-493e-a238-5c8a125cd86f","order_by":0,"name":"Qiyu Wang","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAAq0lEQVRIiWNgGAWjYDACZhiDvYFkLTwHSLZOIoFIhXzHecwkGNvs8uQjH2+8wVBjE01Qi+RhsJbkYsPbacUWDMfSchsIaTEAa9nGnLhxdg6Q0XCYaC31iRtnniFNy+HE+RI8RGqRPMxWbJH473jiBh6gXxKI8Qvf+cMbb3w4U504vx3EqLEhrIXhAIcBQwLIhQcYDIiMmgPsD8C0fANQC1E6RsEoGAWjYMQBAMdgPRbYfZb9AAAAAElFTkSuQmCC","orcid":"","institution":"Zhejiang University of Finance and Economics","correspondingAuthor":true,"prefix":"","firstName":"Qiyu","middleName":"","lastName":"Wang","suffix":""}],"badges":[],"createdAt":"2025-04-25 03:08:15","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-6524713/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-6524713/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":99317414,"identity":"4cbeb11e-82bf-463c-bd7d-205991ec2950","added_by":"auto","created_at":"2025-12-31 16:30:10","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":1183004,"visible":true,"origin":"","legend":"","description":"","filename":"HSSCconnectivitypaper.pdf","url":"https://assets-eu.researchsquare.com/files/rs-6524713/v1_covered_0c9c100c-4519-43b1-a15a-8e1ec0b1999d.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"A Thresholded Graph Connectivity Factor, the Jump Effect in Quantile Pricing, Phase Transition Breakup Points, and the Beta Premium","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"sparse Gaussian graph model; graph connectivity factor distribution, high/low graph connectivity beta factor, asset pricing \u0026 quantile asset pricing, breakpoints, hedge strategies","lastPublishedDoi":"10.21203/rs.3.rs-6524713/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-6524713/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"We construct a sparse graph connectivity pricing factor, derive its jump effects and discover its implementations. 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