Related papers: Modeling systemic risks in financial markets
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial entities are crucial to understand and…
A stock market is considered as one of the highly complex systems, which consists of many components whose prices move up and down without having a clear pattern. The complex nature of a stock market challenges us on making a reliable…
We present a Monte Carlo simulation framework for analysing the risk involved in deploying real-time control systems in safety-critical applications, as well as an algorithm design technique allowing one (in certain situations) to robustify…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.
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…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Model-based safety analysis approaches aim at finding critical failure combinations by analysis of models of the whole system (i.e. software, hardware, failure modes and environment). The advantage of these methods compared to traditional…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Although general-purpose AI systems offer transformational opportunities in science and industry, they simultaneously raise critical concerns about safety, misuse, and potential loss of control. Despite these risks, methods for assessing…
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we…
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…
Internet finance is a new financial model that applies Internet technology to payment, capital borrowing and lending and transaction processing. In order to study the internal risks, this paper uses the Internet financial risk elements as…
Stealth attacks pose potential risks to cyber-physical systems because they are difficult to detect. Assessing the risk of systems under stealth attacks remains an open challenge, especially in nonlinear systems. To comprehensively quantify…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in…