Related papers: Financial black swans driven by ultrafast machine …
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
A large variety of complex systems in ecology, climate science, biomedicine and engineering have been observed to exhibit tipping points, where the internal dynamical state of the system abruptly changes. For example, such critical…
Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Solar flares are one of the most energetic events in the solar system, their impact on Earth at ground level and its atmosphere remains under study. The repercussions of this phenomenon in our technological infrastructure includes radio…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of…
With the frequent occurrence of black swan events, global energy security situation has become increasingly complex and severe. Assessing the resilience of the international oil trade network (iOTN) is crucial for evaluating its ability to…
Empirical estimation of critical points at which complex systems abruptly flip from one state to another is among the remaining challenges in network science. However, due to the stochastic nature of critical transitions it is widely…
There is empirical evidence from a range of disciplines that as the connectivity of a network increases, we observe an increase in the average fitness of the system. But at the same time, there is an increase in the proportion of…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
The global chaos caused by the 19 July 2024 technology meltdown highlights the need for a theory of what large-scale cohesive behaviors -- dangerous or desirable -- could suddenly emerge from future systems of interacting humans, machinery…
Gray swans, plausible but unobserved extreme events, broaden our understanding of the range of hazards beyond those observed during the short observational record. They are useful for dynamical studies, synthetic training data, emergency…