Related papers: Persistence in Financial Connectedness and Systemi…
We investigate the impact of network heterogeneity on synergistic contagion dynamics. By extending a synergistic contagion model to diverse heterogeneous network topologies, we uncover the emergence of novel dynamical regimes characterized…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
Foreign exchange and credit derivatives increase the bank's contributions to systemic risk. Interest rate derivatives decrease it. The proportion of non-performing loans over total loans and the leverage ratio have stronger impact on…
With the emergence of high-frequency connected and automated vehicle data, analysts have become able to extract useful information from them. To this end, the concept of "driving volatility" is defined and explored as deviation from the…
Bursty dynamics is a common temporal property of various complex systems in Nature but it also characterises the dynamics of human actions and interactions. At the phenomenological level it is a feature of all systems that evolve…
The way in which different types of dynamics unfold in complex networks is intrinsically related to the propagation of activation along nodes, which is strongly affected by the network connectivity. In this work we investigate to which…
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
Our current world is linked by a complex mesh of networks where information, people and goods flow. These networks are interdependent each other, and present structural and dynamical features different from those observed in isolated…
For the class of noisy time-delay linear consensus networks, we obtain explicit formulas for risk of large fluctuations of a scalar observable as a function of Laplacian spectrum and its eigenvectors. It is shown that there is an intrinsic…
A crucial challenge in network theory is the study of the robustness of a network after facing a sequence of failures. In this work, we propose a dynamical definition of network's robustness based on Information Theory, that considers…
This paper analyses the risk factors around investing in global supply chain infrastructure: the energy market, investor sentiment, and global shipping costs. It presents portfolio strategies associated with dynamic risks. A time-varying…
Stability is among the most important concepts in dynamical systems. Local stability is well-studied, whereas determining how "globally stable" a nonlinear system is very challenging. Over the last few decades, many different ideas have…
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
The 2008 financial crisis exposed fundamental vulnerabilities in interconnected banking systems, yet existing frameworks fail to integrate spatial propagation with network contagion mechanisms. This paper develops a unified spatial-network…
Link residual closeness is a newly proposed measure for network vulnerability. In this model, vertices are perfectly reliable and the links fail independently of each other. It measures the vulnerability even when the removal of links does…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…