相关论文: Nonlinear dependencies on Brazilian equity network…
This paper investigates how institutional learning and regional spillovers shape volatility dynamics in ASEAN equity markets. Using daily data for Indonesia, Malaysia, the Philippines, and Thailand from 2010 to 2024, we construct a…
\abstract{Urban scaling theories posit that larger cities exhibit disproportionately higher levels of socioeconomic activity and human interactions. Yet, evidence from developing contexts (especially those marked by stark socioeconomic…
Media coverage influences disaster response, yet the drivers of international media attention to local events remain unevenly understood. Brazil offers a compelling case: some of its natural and technological disasters occasionally hit the…
In this paper, a comparative study was conducted between complex networks representing origin and destination survey data. Similarities were found between the characteristics of the networks of Brazilian cities with networks of foreign…
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one complex network. In this work, we…
Addictive behavior spreads through social networks via feedback among choice, peer pressure, and shifting ties, a process that eludes standard epidemic models. We present a comprehensive multi-state network model that integrates…
Contagions such as the spread of popular news stories, or infectious diseases, propagate in cascades over dynamic networks with unobservable topologies. However, "social signals" such as product purchase time, or blog entry timestamps are…
In this paper we study the dynamics of nonlinear random walks. While typical random walks on networks consist of standard Markov chains whose static transition probabilities dictate the flow of random walkers through the network, nonlinear…
We investigate the structure of global inter-firm linkages using a dataset that contains information on business partners for about 400,000 firms worldwide, including all the firms listed on the major stock exchanges. Among the firms, we…
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We highlight the statistical jump model (JM) for market regime…
We analyse a multiplex of networks between OECD countries during the decade 2002-2010, which consists of five financial layers, given by foreign direct investment, equity securities, short-term, long-term and total debt securities, and five…
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following a recently proposed bootstrap-based testing procedure, we…
The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build…
Adherence to the non-pharmaceutical interventions (NPIs) put in place to mitigate the spreading of infectious diseases is a multifaceted problem. Socio-demographic, socio-economic, and epidemiological factors can influence the perceived…
This work considers the robustness of uncertain consensus networks. The first set of results studies the stability properties of consensus networks with negative edge weights. We show that if either the negative weight edges form a cut in…
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…
From 2018 to 2023, Brazil experienced its most fiercely contested elections in history, resulting in the election of far-right candidate Jair Bolsonaro followed by the left-wing, Lula da Silva. This period was marked by a murder attempt, a…
Since June 2013, when Brazil faced the largest and most significant mass protests in a generation, a political crisis is in course. In midst of this crisis, Brazilian politicians use social media to communicate with the electorate in order…
Distributed energy resources offer a control-based option to improve distribution system reliability by ensuring system states that positively impact component failure rates. This option is an attractive complement to otherwise costly and…