相关论文: Emergence of frustration signals systemic risk
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Will a large economy be stable? Building on Robert May's original argument for large ecosystems, we conjecture that evolutionary and behavioural forces conspire to drive the economy towards marginal stability. We study networks of firms in…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…
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…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
We analyze networked heterogeneous nonlinear systems, with diffusive coupling and interconnected over a generic static directed graph. Due to the network's hetereogeneity, complete synchronization is impossible, in general, but an emergent…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
The stable functionality of networked systems is a hallmark of their natural ability to coordinate between their multiple interacting components. Yet, strikingly, real-world networks seem random and highly irregular, apparently lacking any…
Earthquake network is known to be complex in the sense that it is scale-free, small-world, hierarchically organized and assortatively mixed. Here, the time evolution of earthquake network is analyzed around main shocks in the context of the…
Many real-world complex systems rely on cluster synchronization to function properly. A cluster of nodes exhibits synchronous behavior while others behave erratically. Predicting the emergence of these clusters and understanding the…
Emergent behavior that appears at a given level of organization may be characterized as arising from an organizationally lower level in such a way that it transcends a mere increase in the behavioral degree of complexity. It is therefore to…
Although most networks in nature exhibit complex topology the origins of such complexity remains unclear. We introduce a model of a growing network of interacting agents in which each new agent's membership to the network is determined by…
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…
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation networks, which exhibit topological…