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Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
The profitability of various investment styles in investment funds depends on macroeconomic conditions. Market ecology, which views financial markets as ecosystems of diverse, interacting and evolving trading strategies, has shown that…
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…
Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance. We propose a diffusion factor model that…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
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…
This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach generalises time-series regression trees on two dimensions.…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
Complex dynamical systems are prevalent in many scientific disciplines. In the analysis of such systems two aspects are of particular interest: 1) the temporal patterns along which they evolve and 2) the underlying causal mechanisms.…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
Causal decomposition depicts a cause-effect relationship that is not based on the concept of prediction, but based on the phase dependence of time series. It has been validated in both stochastic and deterministic systems and is now…
Diabetes, a pervasive and enduring health challenge, imposes significant global implications on health, financial healthcare systems, and societal well-being. This study undertakes a comprehensive exploration of various structural learning…
Integrating various data modalities brings valuable insights into underlying phenomena. Multimodal factor analysis (FA) uncovers shared axes of variation underlying different simple data modalities, where each sample is represented by a…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
From ancient philosophers to modern economists, biologists, and other researchers, there has been a continuous effort to unveil causal relations. The most formidable challenge lies in deducing the nature of the causal relationship: whether…