Related papers: Credit Default Swaps Drawup Networks: Too Tied To …
This paper investigates structural herdability in a special class of temporally switching networks with fixed topology. We show that when the underlying digraph remains unchanged across all snapshots, the network attains complete SS…
To capture the systemic complexity of international financial systems, network data is an important prerequisite. However, dyadic data is often not available, raising the need for methods that allow for reconstructing networks based on…
Simulation-based inference methods that feature correct conditional coverage of confidence sets based on observations that have been compressed to a scalar test statistic require accurate modeling of either the p-value function or the…
The topology of social networks can be understood as being inherently dynamic, with edges having a distinct position in time. Most characterizations of dynamic networks discretize time by converting temporal information into a sequence of…
We examine a model of network formation in single-layer and multiplex networks in which individuals have positive incentives for social ties, closed triangles, and spillover edges. In particular, we investigate the influence of shocks to…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also…
Due to the recent increase in interest in Financial Technology (FinTech), applications like credit default prediction (CDP) are gaining significant industrial and academic attention. In this regard, CDP plays a crucial role in assessing the…
Source detection (SD) is the task of finding the origin of a spreading process in a network. Algorithms for SD help us combat diseases, misinformation, pollution, and more, and have been studied by physicians, physicists, sociologists, and…
While logistic regression models are easily accessible to researchers, when applied to network data there are unrealistic assumptions made about the dependence structure of the data. For temporal networks measured in discrete time, recent…
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown…
Financial networks model a set of financial institutions (firms) interconnected by obligations. Recent work has introduced to this model a class of obligations called credit default swaps, a certain kind of financial derivatives. The main…
Network reliability is a well-studied problem that requires to measure the probability that a target node is reachable from a source node in a probabilistic (or uncertain) graph, i.e., a graph where every edge is assigned a probability of…
The study of spreading processes often analyzes networks at different resolutions, e.g., at the level of individuals or countries, but it is not always clear how properties at one resolution can carry over to another. Accordingly, in this…
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large…
In this paper, we search whether the Benford's law is applicable to monitor daily changes in sovereign Credit Default Swaps (CDS) quotes, which are acknowledged to be complex systems of economic content. This test is of paramount importance…
Differential equations are a ubiquitous tool to study dynamics, ranging from physical systems to complex systems, where a large number of agents interact through a graph with non-trivial topological features. Data-driven approximations of…
In order to extract hidden joint information from two possibly uncorrelated time-series, we explored the measures of network science. Alongside common methods in time-series analysis of the economic markets, mapping the joint structure of…
Social networks have become an inseparable part of human life and processing them in an efficient manner is a top priority in the study of networks. These networks are highly dynamic and they are growing incessantly. Inspired by the concept…