Related papers: Interaction uncertainty in financial networks

Social interactions determine many economic behaviors, but information on social ties does not exist in most publicly available and widely used datasets. We present results on the identification of social networks from observational panel…

Oscillatory dynamics are ubiquitous in biological networks. Possible sources of oscillations are well understood in low-dimensional systems, but have not been fully explored in high-dimensional networks. Here we study large networks…

'Rich get richer' rule comforts previously often chosen actions. What is happening to the evolution of individual inclinations to choose an action when agents do interact ? Interaction tends to homogenize while each individual dynamics…

A multilevel network is defined as the junction of two interaction networks, one level representing the interactions between individuals and the other the interactions between organizations. The levels are linked by an affiliation…

Dynamical complex systems composed of interactive heterogeneous agents are prevalent in the world, including urban traffic systems and social networks. Modeling the interactions among agents is the key to understanding and predicting the…

We study identification and inference in nonlinear dynamic systems defined on unknown interaction networks. The system evolves through an unobserved dependence matrix governing cross-sectional shock propagation via a nonlinear operator. We…

This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of…

In many social networks it is a useful assumption that, regarding a given quality, an underlying hierarchy of the connected individuals exists, and that the outcome of interactions is to some extent determined by the relative positions in…

In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…

Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on…

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…

When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of…

We undertake a fundamental study of network equilibria modeled as solutions of fixed point equations for monotone linear functions with saturation nonlinearities. The considered model extends one originally proposed to study systemic risk…

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…

We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…

In this article the problem of reconstructing the pattern of connection between agents from partial empirical data in a macro-economic model is addressed, given a set of behavioral equations. This systemic point of view puts the focus on…

We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…

Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…

A stochastic reaction-diffusion model is studied on a networked support. In each patch of the network two species are assumed to interact following a non-normal reaction scheme. When the interaction unit is replicated on a directed linear…