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The measurement and mapping of transportation network vulnerability to natural hazards constitute subjects of global interest, especially due to climate change, and for a sustainable development agenda. During a flood, some elements of a…
Applications of deep learning in financial market prediction has attracted huge attention from investors and researchers. In particular, intra-day prediction at the minute scale, the dramatically fluctuating volume and stock prices within…
We develop and evaluate a family of discrete-time logit-link (LLink) models (including fixed-effects and frailty extensions) to capture latent heterogeneity in repayment behaviour and quantify the effects of socio-temporal factors in…
This paper analyzes the intersection of presidential authority and cryptocurrency markets during Donald J. Trump's second term (2025-2029). We examine developments from 2024 through October 2025, focusing on how executive influence, family…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
The dynamics of complex systems, from financial markets to the brain, can be monitored in terms of multiple time series of activity of the constituent units, such as stocks or neurons respectively. While the main focus of time series…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
We are currently living in a state of uncertainty due to the pandemic caused by the Sars-CoV-2 virus. There are several factors involved in the epidemic spreading such as the individual characteristics of each city/country. The true shape…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check 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…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
Sequence models assign probabilities to variable-length sequences such as natural language texts. The ability of sequence models to capture temporal dependence can be characterized by the temporal scaling of correlation and mutual…
We investigate the extreme return connectedness between the food, fossil energy, and clean energy markets using the quantile connectedness approach, which combines the traditional spillover index with quantile regression. Our results show…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
How much do worker skills, firm pay policies, and their interaction contribute to wage inequality? Standard approaches rely on latent fixed effects identified through worker mobility, but sparse networks inflate variance estimates,…
This paper provides a multilayer and time-varying structural analysis of one air transportation network, having the Brazilian air transportation network as a case study. Using a single mathematical object called MultiAspect Graph (MAG) for…