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I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
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…
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility…
We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution.…
We consider the currency rates dynamics for 12 currencies, including dollar and euro, with respect to Russian rouble. We prove that the Samuelson model (geometric Brownian motion) is not suitable for this dynamics. We also prove that…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
Information percolation is a new method for analyzing stochastic spin systems through classifying and controlling the clusters of information-flow in the space-time slab. It yielded sharp mixing estimates (cutoff with an $O(1)$-window) for…
The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model…
Nonlinear time series analysis is an active field of research that studies the structure of complex signals in order to derive information of the process that generated those series, for understanding, modeling and forecasting purposes. In…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Information transfer between time series is calculated by using the asymmetric information-theoretic measure known as transfer entropy. Geweke's autoregressive formulation of Granger causality is used to find linear transfer entropy, and…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
Individuals working towards a goal often exhibit time inconsistent behavior, making plans and then failing to follow through. One well-known model of such behavioral anomalies is present-bias discounting: individuals over-weight present…
Noise-induced phase transitions are common in various complex systems, from physics to biology. In this article, we investigate the emergence of crucial events in noise-induced phase transition processes and their potential significance for…
This short paper proposes a simple general equilibrium approach within a Markov-switching regime to explain how asymmetric information between lenders and speculators may lead to currency crises. The paper concludes by providing necessary…
A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable…
One of the most widespread human behavioral biases is the present bias -- the tendency to overestimate current costs by a bias factor. Kleinberg and Oren (2014) introduced an elegant graph-theoretical model of inconsistent planning…