Related papers: Network geometry and market instability
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
Turing patterns, arising from the interplay between competing species of diffusive particles, has long been an important concept for describing non-equilibrium self-organization in nature, and has been extensively investigated in many…
A central question of network science is how functional properties of systems arise from their structure. For networked dynamical systems, structure is typically quantified with network measures. A functional property that is of theoretical…
Ricci curvature and Ricci flow have proven to be powerful tools for analyzing the geometry of discrete structures, particularly on undirected graphs, where they have been applied to tasks ranging from community detection to graph…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
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…
Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…
Control and estimation on large-scale social networks often necessitate the availability of models for the interactions amongst the agents. However characterizing accurate models of social interactions pose new challenges due to inherent…
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of…
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…
Networked structures arise in a wide array of different contexts such as technological and transportation infrastructures, social phenomena, and biological systems. These highly interconnected systems have recently been the focus of a great…
Many complex networks in the real world have community structures -- groups of well-connected nodes with important functional roles. It has been well recognized that the identification of communities bears numerous practical applications.…
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in…
We propose RicciFlowRec, a geometric recommendation framework that performs root cause attribution via Ricci curvature and flow on dynamic financial graphs. By modelling evolving interactions among stocks, macroeconomic indicators, and…
Community detection methods can be used to explore the structure of complex systems. The well-known modular configurations in complex financial systems indicate the existence of community structures. Here we analyze the community properties…
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the…