Related papers: Multichannel Contagion vs Stabilisation in Multipl…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic…
The study of networks plays a crucial role in investigating the structure, dynamics, and function of a wide variety of complex systems in myriad disciplines. Despite the success of traditional network analysis, standard networks provide a…
In this work we present a strategic network formation model predicting the emergence of multigroup structures. Individuals decide to form or remove links based on the benefits and costs those connections carry; we focus on bilateral consent…
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…
The structure of the supply chain network has important implications for modelling economic systems, from growth trajectories to responses to shocks or natural disasters. However, reconstructing firm-to-firm networks from available…
In this work, we propose an interdependent, multilayer network model and percolation process that matches infrastructures better than previous models by allowing some nodes to survive when their interdependent neighbors fail. We consider a…
The spread of ideas across a social network can be studied using complex contagion models, in which agents are activated by contact with multiple activated neighbors. The investigation of complex contagions can provide crucial insights into…
We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial data. Market structure is measured by…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…
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…
We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Multilayer networks provide a framework to study complex systems with multiple types of interactions, multiple dynamical processes, and/or multiple subsystems. When studying a dynamical process on a multilayer network, it is important to…
A more connected world has brought major consequences such as facilitate the spread of diseases all over the world to quickly become epidemics, reason why researchers are concentrated in modeling the propagation of epidemics and outbreaks…
Complex contagion models have been developed to understand a wide range of social phenomena such as adoption of cultural fads, the diffusion of belief, norms, and innovations in social networks, and the rise of collective action to join a…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
Diffusion dynamics in multiplex networks can model a diverse number of real-world processes. In some specific configurations of these systems, the super-diffusion phenomenon arises, in which the diffusion is faster in the multiplex network…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…