Related papers: Interaction uncertainty in financial networks
Networks effectively capture interactions among components of complex systems, and have thus become a mainstay in many scientific disciplines. Growing evidence, especially from biology, suggest that networks undergo changes over time, and…
Stochastic reaction-diffusion models can be analytically studied on complex networks using the linear noise approximation. This is illustrated through the use of a specific stochastic model, which displays traveling waves in its…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
We study the dynamics of weakly deformed interfaces separating two stable phases, starting from the fluctuating hydrodynamics of the phase-separating fields. Using a well-chosen definition for the interface and the dynamical-action…
The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
Adaptive-network models are typically studied using deterministic differential equations which approximately describe their dynamics. In simulations, however, the discrete nature of the network gives rise to intrinsic noise which can…
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
Species interactions (ranging from direct predator prey relationships to indirect effects mediated by the environment) are central to ecosystem balance and biodiversity. While empirical methods for measuring these interactions exist, their…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
In a previous paper, we applied a field formalism to analyze capital allocation and accumulation within a microeconomic framework of investors and firms. The financial connections were modeled by a field of stakes, representing the links…
Over the past decade network theory has been applied successfully to the study of a variety of complex adaptive systems. However, the application of these techniques to non-human social networks has several shortfalls. Firstly, in most…
We show that for a certain class of dynamics at the nodes the response of a network of any topology to arbitrary inputs is defined in a simple way by its response to a monotone input. The nodes may have either a discrete or continuous set…
In most real-world applications, it is seldom the case that a given observable evolves independently of its environment. In social networks, users' behavior results from the people they interact with, news in their feed, or trending topics.…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…