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In particular, we consider multiplex networks made of four layers corresponding, respectively, to linear, nonlinear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.<\/jats:p>","DOI":"10.1155\/2017\/9586064","type":"journal-article","created":{"date-parts":[[2017,9,20]],"date-time":"2017-09-20T17:02:05Z","timestamp":1505926925000},"page":"1-13","source":"Crossref","is-referenced-by-count":72,"title":["The Multiplex Dependency Structure of Financial Markets"],"prefix":"10.1155","volume":"2017","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7256-0638","authenticated-orcid":true,"given":"Nicol\u00f2","family":"Musmeci","sequence":"first","affiliation":[{"name":"Department of Mathematics, King\u2019s College London, The Strand, London WC2R 2LS, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Vincenzo","family":"Nicosia","sequence":"additional","affiliation":[{"name":"School of Mathematical Sciences, Queen Mary University of London, Mile End Road, London E1 4NS, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4219-0215","authenticated-orcid":true,"given":"Tomaso","family":"Aste","sequence":"additional","affiliation":[{"name":"Department of Computer Science, University College London, Gower Street, London WC1E 6BT, UK"},{"name":"Systemic Risk Centre, London School of Economics and Political Sciences, London WC2A 2AE, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5913-3268","authenticated-orcid":true,"given":"Tiziana","family":"Di Matteo","sequence":"additional","affiliation":[{"name":"Department of Mathematics, King\u2019s College London, The Strand, London WC2R 2LS, UK"},{"name":"Department of Computer Science, University College London, Gower Street, London WC1E 6BT, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0984-8038","authenticated-orcid":true,"given":"Vito","family":"Latora","sequence":"additional","affiliation":[{"name":"School of Mathematical Sciences, Queen Mary University of London, Mile End Road, London E1 4NS, UK"},{"name":"Dipartimento di Fisica ed Astronomia, Universit\u00e0 di Catania and INFN, 95123 Catania, Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","reference":[{"key":"1","doi-asserted-by":"publisher","DOI":"10.1007\/s100510050929"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.0500298102"},{"key":"3","year":"2005","journal-title":"Physica A 346"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2006.04.019"},{"key":"5","volume":"86","year":"2012","journal-title":"Phys. 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