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The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
Recent technological advancements have resulted in a surge in online trading, raising severe concerns about theft and fraud, especially on platforms like Bitcoin OTC (over-the-counter), where users' identities remain anonymous. To mitigate…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
Through this research, embedded synthetic fracture networks in rock masses are studied. To analysis the fluid flow complexity in fracture networks with respect to the variation of connectivity patterns, two different approaches are…
Starting from a corpus of economic articles from The Wall Street Journal, we present a novel systematic way to analyse news content that evolves over time. We leverage on state-of-the-art natural language processing techniques (i.e. GPT3.5)…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
This paper examines fiscal policy spillovers through informal international financial channels, using the US stimulus checks as a positive, sudden, and direct fiscal shock. I utilize granular, transaction-level cryptocurrency data combined…
The fluctuations and correlations of matrix elements of cross sections are investigated in open systems that are chaotic in the classical limit. The form of the correlation functions is discussed within a statistical analysis and tested in…
The present paper reports on our effort to characterize vortical interactions in complex fluid flows through the use of network analysis. In particular, we examine the vortex interactions in two-dimensional decaying isotropic turbulence and…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Achieving situational awareness is a challenging process in current HTTPS-dominant web traffic. In this paper, we propose a new approach to encrypted web traffic monitoring. First, we design a method for correlating host-based and network…
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
Payment channel networks, such as Bitcoin's Lightning Network, promise to improve the scalability of blockchain systems by processing the majority of transactions off-chain. Due to the design, the positioning of nodes in the network…
Bitcoin is a popular alternative to fiat money, widely used for its perceived anonymity properties. However, recent attacks on Bitcoin's peer-to-peer (P2P) network demonstrated that its gossip-based flooding protocols, which are used to…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
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…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…