相关论文: Interdependence between Green Financial Instrument…
We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy. We tackle the task to visualize the evolution of risk,…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some carbon-related disclosures and proposing others. Here we go…
In this paper we shall prove that the plane of financial events, introduced and applied to financial problems by the author himself (see [2], [3] and [4]) can be considered as a fibration in two different ways. The first one, the natural…
How do inter-organizational networks emerge? Accounting for interdependence among ties while studying tie formation is one of the key challenges in this area of research. We address this challenge using an equilibrium framework where firms'…
The rapid progress of AI is fueled by increasingly large and computationally intensive machine learning models and datasets. As a consequence, the amount of compute used in training state-of-the-art models is exponentially increasing…
I study the dynamic, general equilibrium implications of climate-change-linked transition risk on macroeconomic outcomes and asset prices. Climate-change-linked expectations of fossil fuel restrictions can produce a ``run on fossil fuels''…
Previous studies showed that hydro-climate processes are stochastic and complex systems, and it is difficult to discover the hidden patterns in the all non-stationary data and thoroughly understand the hydro-climate relationships. For the…
Classical and centralized Artificial Intelligence (AI) methods require moving data from producers (sensors, machines) to energy hungry data centers, raising environmental concerns due to computational and communication resource demands,…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
We use continuous wavelet tools to characterize the dynamics of climate change across time and frequencies. This approach allows us to capture the changing patterns in the relationship between global mean temperature anomalies and climate…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
Multilayer networks proved to be suitable in extracting and providing dependency information of different complex systems. The construction of these networks is difficult and is mostly done with a static approach, neglecting time delayed…
About two million U.S. corporations and partnerships are linked to each other and human investors by about 15 million owner-subsidiary links. Comparable social networks such as corporate board memberships and socially-built systems such as…
What makes economic and ecological networks so unlike other highly skewed networks in their tendency toward turbulence and collapse? Here, we explore the consequences of a defining feature of these networks: their nodes are tied together by…
Do ecosystems primarily reflect evolutionary history or current environment? Predicting land-atmosphere exchange hinges on this unresolved question. Plant traits adapt to particular environments over evolutionary timescales, yet their…
Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…
The Internet of Things (IoT) can support the evolution towards a digital and green future. However, the introduction of the technology clearly has in itself a direct adverse ecological impact. This paper assesses this impact at both the…
Time series forecasting is crucial for decision-making across various domains, particularly in financial markets where stock prices exhibit complex and non-linear behaviors. Accurately predicting future price movements is challenging due to…
In this paper, we apply tools from the random matrix theory (RMT) to estimates of correlations across volatility of various assets in the S&P 500. The volatility inputs are estimated by modeling price fluctuations as GARCH(1,1) process. The…