Related papers: Analysis of the Global Banking Network by Random M…
This chapter aims at reviewing complex networks models and methods that were either developed for or applied to socioeconomic issues, and pertinent to the theme of New Economic Geography. After an introduction to the foundations of the…
The Internet is a complex network of interconnected routers and the existence of collective behavior such as congestion suggests that the correlations between different connections play a crucial role. It is thus critical to measure and…
Financial institutions obtain enormous amounts of data about user transactions and money transfers, which can be considered as a large graph dynamically changing in time. In this work, we focus on the task of predicting new interactions in…
Banking fraud causes billion-dollar losses for banks worldwide. In fraud detection, graphs help understand complex transaction patterns and discovering new fraud schemes. This work explores graph patterns in a real-world transaction dataset…
The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here we investigate international trade through the…
Using the new data from the OECD-WTO world network of economic activities we construct the Google matrix $G$ of this directed network and perform its detailed analysis. The network contains 58 countries and 37 activity sectors for years…
In this short note we collect together known results on the use of Random Matrix Theory in lattice statistical mechanics. The purpose here is two fold. Firstly the RMT analysis provides an intrinsic characterization of integrability, and…
In this paper we offer a novel type of network model which can capture the precise structure of a financial market based, for example, on empirical findings. With the attached stochastic framework it is further possible to study how an…
Complex networks describe a wide range of systems in nature and society, much quoted examples including the cell, a network of chemicals linked by chemical reactions, or the Internet, a network of routers and computers connected by physical…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Model-based analysis tools, built on assumptions and simplifications, are difficult to handle smart grids with data characterized by 4Vs data. This paper, using random matrix theory (RMT), motivates data-driven tools to perceive the complex…
We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed…
Networks effectively capture interactions among components of complex systems, and have thus become a mainstay in many scientific disciplines. Growing evidence, especially from biology, suggest that networks undergo changes over time, and…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
This article is an introductory review of random matrix theory (RMT) and its applications, with special focus on quantum chaos. Random matrices were first used by Wigner to understand the spectra of complex nuclei from a statistical…
In this article the problem of reconstructing the pattern of connection between agents from partial empirical data in a macro-economic model is addressed, given a set of behavioral equations. This systemic point of view puts the focus on…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…