Related papers: Reciprocity in Interbank Markets
A central challenge in economics and artificial intelligence is explaining how financial behaviors-such as credit, insurance, and trade-emerge without formal institutions. We argue that these functions are not products of institutional…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Here we investigate the dynamics of indirect reciprocity on networks, a type of social dynamics in which the attitude of individuals, either cooperative or antagonistic, toward other individuals changes over time by their actions and mutual…
When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
Many models of market dynamics make use of the idea of conservative wealth exchanges among economic agents. A few years ago an exchange model using extremal dynamics was developed and a very interesting result was obtained: a self-generated…
In the study of economic networks, econometric approaches interpret the traditional Gravity Model specification as the expected link weight coming from a probability distribution whose functional form can be chosen arbitrarily, while…
Link weight is crucial in weighted complex networks. It provides additional dimension for describing and adjusting the properties of networks. The topological role of weight is studied by the effects of random redistribution of link weights…
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…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
It is generally accepted that neighboring nodes in financial networks are negatively assorted with respect to the correlation between their degrees. This feature would play an important 'damping' role in the market during downturns (periods…
This paper studies the statistical properties of the web of import-export relationships among world countries using a weighted-network approach. We analyze how the distributions of the most important network statistics measuring…
Various kinds of spread of influence occur in real world social and virtual networks. These phenomena are formulated by activation processes and irreversible dynamic monopolies in combinatorial graphs representing the topology of the…
Biological and social networks have recently attracted enormous attention between physicists. Among several, two main aspects may be stressed: A non trivial topology of the graph describing the mutual interactions between agents exists…
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…
Reciprocity is a second-order correlation that has been recently detected in all real directed networks and shown to have a crucial effect on the dynamical processes taking place on them. However, no current theoretical model generates…
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…
The analysis of networks characterized by links with heterogeneous intensity or weight suffers from two long-standing problems of arbitrariness. On one hand, the definitions of topological properties introduced for binary graphs can be…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…