Related papers: Disentangling global equity market instability: a …
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
This paper deals with the global stability of time-delayed dynamical networks. We show that for a time-delayed dynamical network with non-distributed delays the network and the corresponding non-delayed network are both either globally…
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…
In this work, water distribution systems are regarded as large sparse planar graphs with complex network characteristics and the relationship between important topological features of the network (i.e. structural robustness and loop…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
Reasonably large perturbations may push a power grid from its stable synchronous state into an undesirable state. Identifying vulnerabilities in power grids by studying power grid stability against such perturbations can aid in preventing…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
The main result relates to structured robust stability analysis of an input-output model for networks with link uncertainty. It constitutes a collection of integral quadratic constraints, which together imply robust stability of the…
Network theory is rapidly changing our understanding of complex systems, but the relevance of topological features for the dynamic behavior of metabolic networks, food webs, production systems, information networks, or cascade failures of…
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…
Extraction of interaction networks from multi-variate time-series is one of the topics of broad interest in complex systems. Although this method has a wide range of applications, most of the previous analyses have focused on the pairwise…
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…
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…
We construct a data-driven model of flows in graphs that captures the essential elements of the movement of workers between jobs in the companies (firms) of entire economic systems such as countries. The model is based on the observation…
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…
Traditionally, network analysis is based on local properties of vertices, like their degree or clustering, and their statistical behavior across the network in question. This paper develops an approach which is different in two respects. We…
Efficient computability is an important property of solution concepts in matching markets. We consider the computational complexity of finding and verifying various solution concepts in trading networks-multi-sided matching markets with…
Various simulation-based and analytical methods have been developed to evaluate the seismic fragilities of individual structures. However, a community's seismic safety and resilience are substantially affected by network reliability,…