Related papers: Cross-country hierarchical structure and currency …
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution.…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
In the paper, we study numerically the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the…
In this study, we introduce an analytics framework, the Bank Risk Interlinkage with Dynamic Graph and Event Simulations (BRIDGES), to capture the systemic risks associated with the growing economic influence of the BRICS nations. This…
Employee turnover is a critical challenge in financial markets, yet little is known about the role of professional networks in shaping career moves. Using the Hong Kong Securities and Futures Commission (SFC) public register (2007-2024), we…
We model the spreading of a crisis by constructing a global economic network and applying the Susceptible-Infected-Recovered (SIR) epidemic model with a variable probability of infection. The probability of infection depends on the strength…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…
The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact of a currency transaction tax would be. These considerations…
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs…
We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…