Related papers: Risk diversification: a study of persistence with …
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…
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…
We present a geometric version of Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) tests in correlation structures that allows us to include and combine new information with distance metrics. The topic falls within the scope…
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. We investigate the stability of the…
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
We consider the problem of risk diversification in complex networks. Nodes represent e.g. financial actors, whereas weighted links represent e.g. financial obligations (credits/debts). Each node has a risk to fail because of losses…
Agglomerative hierarchical clustering can be implemented with several strategies that differ in the way elements of a collection are grouped together to build a hierarchy of clusters. Here we introduce versatile linkage, a new infinite…
We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…
In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some well-known risk-based models in which the estimation of…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewed as the "sweet spot" of trend-following. This paper…
Many biological tissues feature a heterogeneous network of fibers whose tensile and bending rigidity contribute substantially to these tissues' elastic properties. Rigidity percolation has emerged as a important paradigm for relating these…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
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…
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…
Investigating relation between various structural patterns found in real-world networks and stability of underlying systems is crucial to understand importance and evolutionary origin of such patterns. We evolve multiplex networks,…
By analysing the diffusive dynamics of epidemics and of distress in complex networks, we study the effect of the assortativity on the robustness of the networks. We first determine by spectral analysis the thresholds above which…