相关论文: Time and Frequency Structure of Causal Correlation…

The problem of the new energy economy has become a global hot issue. This study examines the causal relationship between the ratio of thermal power in total power generation (RTPG) and economic growth (GDP) in the western and central China…

The paper is concerned with stochastic equations for the short rate process $R$ $$ dR(t)=F(R(t))dt+G(R(t-))dZ(t), $$ in the affine model of the bond prices. The equation is driven by a L\'evy martingale $Z$. It is shown that the discounted…

The issue of local government debt is widely recognized as one of the "gray rhinos" affecting the stable development of China's economy. Government debt can transmit risks to local banks, which are among the primary holders of local debt,…

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…

In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…

There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two…

In this paper, the annual growth rate of electricity consumption in China in the first 15 years of the 21st century is modeled using multiple linear regression. Historical data and trends of gross domestic product, fixed assets investment…

Cardiometabolic diseases have substantially increased in China in the past 20 years and blood pressure is a primary modifiable risk factor. Using data from the China Health and Nutrition Survey, we examine blood pressure trends in China…

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…

Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian…

We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…

This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…

Granger causality and variants of this concept allow the study of complex dynamical systems as networks constructed from multivariate time series. In this work, a large number of Granger causality measures used to form causality networks…

We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily complex hypotheses in a computationally…

While economic theory explains the linkages among the financial markets of different countries, empirical studies mainly verify the linkages through Granger causality, without considering latent variables or instantaneous effects. Their…

An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a…

The growth dynamics of complex organizations have attracted much interest of econophysicists and sociophysicists in recent years. However, most of the studies are done for developed countries. We investigate the growth dynamics of the…

We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…

Benchmark rankings are routinely used to justify scientific claims about method quality in gene regulatory network (GRN) inference, yet the stability of these rankings under plausible evaluation protocol choices is rarely examined. We…

We build a 167-indicator comprehensive credit risk indicator set, integrating macro, corporate financial, bond-specific indicators, and for the first time, 30 large-scale corporate non-financial indicators. We use seven machine learning…