Related papers: Compressing Over-the-Counter Markets
Studies built on dependency and world-system theory using network approaches have shown that international trade is structured into clusters of 'core' and 'peripheral' countries performing distinct functions. However, few have used these…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
The electricity industry has been one of the first to face technological changes motivated by sustainability concerns. Whilst efficiency aspects of market design have tended to focus upon market power concerns, the new policy challenges…
Credit networks rely on decentralized, pairwise trust relationships (channels) to exchange money or goods. Credit networks arise naturally in many financial systems, including the recent construct of payment channel networks in blockchain…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and…
In Europe, balance responsible parties can deliberately take out-of-balance positions to support transmission system operators (TSOs) in maintaining grid stability and earn profit, a practice called implicit balancing. Model predictive…
We exploit the symmetry concepts developed in the companion review of this article to introduce a stochastic version of link reversal symmetry, which leads to an improved understanding of the reciprocity of directed networks. We apply our…
Large deployment of distribute energy resources and the increasing awareness of end-users towards their energy procurement are challenging current practices of electricity markets. A change of paradigm, from a top-down hierarchical approach…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a…
Many macroeconomic policy questions may be assessed in a case study framework, where the time series of a treated unit is compared to a counterfactual constructed from a large pool of control units. I provide a general framework for this…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal…
While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral…
The communications systems, terminals, software and deployment service, industries, have undergone the past ten years a significant technological internal evolution and external revolution at customer end (such as Internet, Mobile networks…
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…
We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that…