Related papers: Change-point Analysis in Financial Networks
Dynamical phase transitions (DPTs) characterize critical changes in system behavior occurring at finite times, providing a lens to study nonequilibrium phenomena beyond conventional equilibrium physics. While extensively studied in quantum…
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…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
We propose a new framework for the detection of change-points in online, sequential data analysis. The approach utilizes nearest neighbor information and can be applied to sequences of multivariate observations or non-Euclidean data…
Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point…
The detection of change-points in a spatially or time ordered data sequence is an important problem in many fields such as genetics and finance. We derive the asymptotic distribution of a statistic recently suggested for detecting…
Changes in the statistical properties of a stochastic process are typically assumed to occur via change-points, which demark instantaneous moments of complete and total change in process behavior. In cases where these transitions occur…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Anomaly detection is a challenging task, particularly in systems with many variables. Anomalies are outliers that statistically differ from the analyzed data and can arise from rare events, malfunctions, or system misuse. This study…
Systems that comprise many interacting dynamical networks, such as the human body with its biological networks or the global economic network consisting of regional clusters, often exhibit complicated collective dynamics. To understand the…
A large variety of complex systems in ecology, climate science, biomedicine and engineering have been observed to exhibit tipping points, where the internal dynamical state of the system abruptly changes. For example, such critical…
Large volume of networked streaming event data are becoming increasingly available in a wide variety of applications, such as social network analysis, Internet traffic monitoring and healthcare analytics. Streaming event data are discrete…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Dynamical networks are powerful tools for modeling a broad range of complex systems, including financial markets, brains, and ecosystems. They encode how the basic elements (nodes) of these systems interact altogether (via links) and evolve…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…