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In this paper we examine the process involved in the design and implementation of a port-graph model to be used for the analysis of an agent-based rational negligence model. Rational negligence describes the phenomenon that occurred during…
The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
As interconnected systems proliferate, safeguarding complex infrastructures against an escalating array of cyber threats has become an urgent challenge. The increasing number of vulnerabilities, combined with resource constraints, makes…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that…
For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…
Recent studies have shown that a system composed from several randomly interdependent networks is extremely vulnerable to random failure. However, real interdependent networks are usually not randomly interdependent, rather a pair of…
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…
Traditional balance-of-payments (BoP) analysis treats national external positions as largely idiosyncratic time series. This misses an essential structural fact: global imbalances are jointly realized on a directed, weighted network of…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
The stability of the global food supply network is critical for ensuring food security. This study constructs an aggregated international food supply network based on the trade data of four staple crops and evaluates its structural…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks. Here we define a structural importance metric - which we denote as $l_e$ - for the edges of a network.…
The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…
The growing instability of both global and domestic economic environments has increased the risk of financial distress at the household level. However, traditional econometric models often rely on delayed and aggregated data, limiting their…
We identify volatility spillovers across commodities, equities, and treasuries using a hybrid HAR-ElasticNet framework on daily realized volatility for six futures markets over 2002--2025. Our two step procedure estimates own-volatility…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…