Related papers: Structural changes in the interbank market across …

We use the theory of complex networks in order to quantitatively characterize the formation of communities in a particular financial market. The system is composed by different banks exchanging on a daily basis loans and debts of liquidity.…

This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…

This study relates the local property of node dominance to local and global properties of a network. Iterative removal of dominated nodes yields a distributed algorithm for computing a core-periphery decomposition of a social network, where…

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…

As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…

This paper provides the first empirical network analysis of the Argentine interbank money market. Its main topological features are examined applying graph theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The…

Core-periphery detection aims to separate the nodes of a complex network into two subsets: a core that is densely connected to the entire network and a periphery that is densely connected to the core but sparsely connected internally. The…

The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…

Nestedness has traditionally been used to detect assembly patterns in meta-communities and networks of interacting species. Attempts have also been made to uncover nested structures in international trade, typically represented as bipartite…

A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…

This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…

We develop an analysis of the cryptocurrency market borrowing methods and concepts from ecology. This approach makes it possible to identify specific diversity patterns and their variation, in close analogy with ecological systems, and to…

Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…

Extraction of interaction networks from multi-variate time-series is one of the topics of broad interest in complex systems. Although this method has a wide range of applications, most of the previous analyses have focused on the pairwise…

We propose a statistical model for graphs with a core-periphery structure. To do this we define a precise notion of what it means for a graph to have this structure, based on the sparsity properties of the subgraphs of core and periphery…

We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of the interbank network is of fundamental importance for the…

Dense cooperative networks are an essential element of social capital for a prosperous society. These networks enable individuals to overcome collective action dilemmas by enhancing trust. In many biological and social settings, network…

The "social-networking revolution" of late (e.g., with the advent of social media, Facebook, and the like) has been propelling the crusade to elucidate the embedded networks that underlie economic activity. An unexampled synthesis of…

Drawing on a large database of publicly announced R&D alliances, we empirically investigate the evolution of R&D networks and the process of alliance formation in several manufacturing sectors over a 24-year period (1986-2009). Our goal is…