Related papers: Asymmetric Network Connectedness of Fears
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
Networks - collections of interacting elements or nodes - abound in the natural and manmade worlds. For many networks, complex spatiotemporal dynamics stem from patterns of physical interactions unknown to us. To infer these interactions,…
Signed graphs are widely used to analyze complex systems such as social, political, and biological networks. The notion of balance, a key concept of signed graphs, reflects the stability of relationships. While it has been extensively…
Social networks affect the diffusion of information, and thus have the potential to reduce or amplify inequality in access to opportunity. We show empirically that social networks often exhibit a much larger potential for unequal diffusion…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…
In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…
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…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
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,…
We develop a statistical theory to characterize correlations in weighted networks. We define the appropriate metrics quantifying correlations and show that strictly uncorrelated weighted networks do not exist due to the presence of…
Despite the tremendous advancements in the field of network theory, very few studies have taken weights in the interactions into consideration that emerge naturally in all real world systems. Using random matrix analysis of a weighted…
For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…
We discuss social network analysis from the perspective of economics. We organize the presentaion around the theme of externalities: the effects that one's behavior has on others' well-being. Externalities underlie the interdependencies…
In coordination games and speculative over-the-counter financial markets, solutions depend on higher-order average expectations: agents' expectations about what counterparties, on average, expect their counterparties to think, etc. We offer…
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
This paper develops strategic foundations for an important statistical model of random networks with heterogeneous expected degrees. Based on this, we show how social networking services that subtly alter the costs and indirect benefits of…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
Although neural networks are capable of reaching astonishing performances on a wide variety of contexts, properly training networks on complicated tasks requires expertise and can be expensive from a computational perspective. In industrial…
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…