Related papers: Network geometry and market instability
Ricci curvature and its associated flow offer powerful geometric methods for analyzing complex networks. While existing research heavily focuses on applications for undirected graphs such as community detection and core extraction, there…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
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…
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
This paper leverages linear systems theory to propose a principled measure of complexity for network systems. We focus on a network of first-order scalar linear systems interconnected through a directed graph. By locally filtering out the…
Complex networks are universal, arising in fields as disparate as sociology, physics, and biology. In the past decade, extensive research into the properties and behaviors of complex systems has uncovered surprising commonalities among the…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
Coupled oscillator networks show a complex interrelations between topological characteristics of the network and the nonlinear stability of single nodes with respect to large but realistic perturbations. We extend previous results on these…
This work investigates the effects of complex networks on the collective behavior of a three-state opinion formation model in economic systems. Our model considers two distinct types of investors in financial markets: noise traders and…
Networks are universally considered as complex structures of interactions of large multi-component systems. In order to determine the role that each node has inside a complex network, several centrality measures have been developed. Such…
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of 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…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
Since proteins carry out biological processes by interacting with other proteins, analyzing the structure of protein-protein interaction (PPI) networks could explain complex biological mechanisms, evolution, and disease. Similarly, studying…
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and…