Related papers: Singularity strength based characterization of fin…
Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
Complex networks are characterized by heterogeneous distributions of the degree of nodes, which produce a large diversification of the roles of the nodes within the network. Several centrality measures have been introduced to rank nodes…
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and…
We introduce the concept of natural connectivity as a robustness measure of complex networks. The natural connectivity has a clear physical meaning and a simple mathematical formulation. It characterizes the redundancy of alternative paths…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
The theory of community structure is a powerful tool for real networks, which can simplify their topological and functional analysis considerably. However, since community detection methods have random factors and real social networks…
We use the theory of complex networks in order to quantitatively characterize the formation of communities in a particular financial market. The system is composed by different banks exchanging on a daily basis loans and debts of liquidity.…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
The non-trivial structure of such complex systems makes the analysis of their collective behavior a challenge. The problem is even more difficult when the information is distributed across networks (e.g., communication networks in different…
The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
In real networks complex topological features are often associated with a diversity of interactions as measured by the weights of the links. Moreover, spatial constraints may as well play an important role, resulting in a complex interplay…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
Distance correlation coefficient (DCC) can be used to identify new associations and correlations between multiple variables. The distance correlation coefficient applies to variables of any dimension, can be used to determine smaller sets…
In this paper, a frequency coefficient based on the Sen-Shorrocks-Thon (SST) poverty index notion is proposed. The clustering SST index can be used as the method for determination of the connection between similar neighbor sub-clusters.…