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This is a review about financial dependencies which merges efforts ineconophysics and financial economics during the last few years. We focus on themost relevant contributions to the analysis of asset markets' dependencies,especially correlational studies, which in our opinion are beneficial forresearchers in both fields. In econophysics, these dependencies can be modeledto describe financial markets as evolving complex networks. In particular weshow that a useful way to describe dependencies is by means of informationfiltering networks that are able to retrieve relevant and meaningfulinformation in complex financial data sets. In financial economics thesedependencies can describe asset comovement and spill-overs. In particular,several models are presented that show how network and factor model approachesare related to modeling of multivariate volatility and asset returnsrespectively. Finally, we sketch out how these studies can inspire futureresearch and how they contribute to support researchers in both fields to finda better and a stronger common language.

A Look at Financial Dependencies by Means of Econophysics and Financial Economics