Related papers: Network geometry and market instability
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
We use the discrete Ollivier-Ricci graph curvature with Ricci flow to examine the intrinsic geometry of financial markets through the empirical correlation graph of the NASDAQ 100 index. Our main result is the development of a technique to…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
Geometry-inspired measures (such as discrete Ricci curvatures) and topological data analysis (TDA) based methods (such as persistent homology) have become attractive tools for characterizing the higher-order structure of networks…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
Recently, an indicator for stock market fragility and crash size in terms of the Ollivier-Ricci curvature has been proposed. We study analytical and empirical properties of such indicator, test its elasticity with respect to different…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Describing networks geometrically through low-dimensional latent metric spaces has helped design efficient learning algorithms, unveil network symmetries and study dynamical network processes. However, latent space embeddings are limited to…
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,…
In recent years extensions of manifold Ricci curvature to discrete combinatorial objects such as graphs and hypergraphs (popularly called as "network shapes"), have found a plethora of applications in a wide spectrum of research areas…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
We have performed an empirical comparison of two distinct notions of discrete Ricci curvature for graphs or networks, namely, the Forman-Ricci curvature and Ollivier-Ricci curvature. Importantly, these two discretizations of the Ricci…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Describing the basic properties of road network systems, such as their robustness, vulnerability, and reliability, has been a very important research topic in the field of urban transportation. Current research mainly uses several…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…