Related papers: Interlinkages and structural changes in cross-bord…
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on…
Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By…
We review the main tools which allow for the statistical characterization of weighted networks. We then present two case studies, the airline connection network and the scientific collaboration network, which are representative of critical…
Cross-border migration brings economic and cultural impacts to the origin and destination, and is also a key to reflect the international relations of related countries. In fact, the migration relationships of countries are complex and…
A stream of unstructured news can be a valuable source of hidden relations between different entities, such as financial institutions, countries, or persons. We present an approach to continuously collect online news, recognize relevant…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and…
Economy, and consequently trade, is a fundamental part of human social organization which, until now, has not been studied within the network modelling framework. Networks are mathematical tools used in the modelling of a wide variety of…
The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here we investigate international trade through the…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
Complex networks describe a wide range of systems in nature and society, much quoted examples including the cell, a network of chemicals linked by chemical reactions, or the Internet, a network of routers and computers connected by physical…
Global financial systems are undergoing strategic shifts as geopolitical tensions reshape international trade and payments. The United States (US)-China trade war, sanctions regimes, and rising concerns over the weaponization of financial…
We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed…
We investigate the impact of borders on the topology of spatially embedded networks. Indeed territorial subdivisions and geographical borders significantly hamper the geographical span of networks thus playing a key role in the formation of…
Network analysis of inter-industry payment flows reveals structural economic relationships invisible to traditional bilateral measurement approaches, with significant implications for real-time economic monitoring. Analysing 532,346 UK…
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…