Related papers: Disentangling global equity market instability: a …
Anomaly detection is a challenging task, particularly in systems with many variables. Anomalies are outliers that statistically differ from the analyzed data and can arise from rare events, malfunctions, or system misuse. This study…
We derive a composite centrality measure for general weighted and directed complex networks, based on measure standardisation and invariant statistical inheritance schemes. Different schemes generate different intermediate abstract measures…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
With the development of real-time networks such as reactive embedded systems, there is a need to compute deterministic performance bounds. This paper focuses on the performance guarantees and stability conditions in networks with cyclic…
Feature models are widely used to capture the configuration space of software systems. Although automated reasoning has been studied for detecting problematic features and supporting configuration tasks, significantly less attention has…
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
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 DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Applying a network analysis to stock return correlations, we study the dynamical properties of the network and how they correlate with the market return, finding meaningful variables that partially capture the complex dynamical processes of…
We describe an example of a structurally stable heteroclinic network for which nearby orbits exhibit irregular but sustained switching between the various sub-cycles in the network. The mechanism for switching is the presence of spiralling…
Network equilibrium models represent a versatile tool for the analysis of interconnected objects and their relationships. They have been widely employed in both science and engineering to study the behavior of complex systems under various…
Tools of the theory of critical phenomena, namely the scaling analysis and universality, are argued to be applicable to large complex web-like network structures. Using a detailed analysis of the real data of the International Trade Network…
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…
A stream of unstructured news can be a valuable source of hidden relations between different entities, such as financial institutions, countries, or persons. We present an approach to continuously collect online news, recognize relevant…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
With a steadily growing population and rapid advancements in technology, the global economy is increasing in size and complexity. This growth exacerbates global vulnerabilities and may lead to unforeseen consequences such as global…
This paper proposes a novel method for determining the number of factors in linear factor models under stability considerations. An instability measure is proposed based on the principal angle between the estimated loading spaces obtained…