相关论文: Heterogeneous Exposures to Systematic and Idiosync…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cyber risk has become a critical financial threat in today's interconnected digital economy. This paper introduces a cyber-risk management framework for networked digital systems that combines the strategic behavior of players with…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
On electronic game platforms, different payment transactions have different levels of risk. Risk is generally higher for digital goods in e-commerce. However, it differs based on product and its popularity, the offer type (packaged game,…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
Credit exposure in Decentralized Finance (DeFi) is often implicit and token-mediated, creating a dense web of inter-protocol dependencies. Thus, a shock to one token may result in significant and uncontrolled contagion effects. As the DeFi…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statistical layers: (A) interactions between core liquidity and…
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…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
The nature of information security has been, and probably will continue to be, marked by the asymmetric competition of attackers and defenders over the control of an uncertain environment. The reduction of this degree of uncertainty via an…
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification is the application…
The rapid integration of the Internet of Things (IoT) and Internet of Medical (IoM) devices in the healthcare industry has markedly improved patient care and hospital operations but has concurrently brought substantial risks. Distributed…
Herding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by…
The Financial system has witnessed rapid technological changes. The rise of Bitcoin and other crypto assets based on Distributed Ledger Technology mark a fundamental change in the way people transact and transmit value over a decentralized…
Crypto-ransomware is characterized by its irreversible effect even after the detection and removal. As such, the early detection is crucial to protect user data and files of being held to ransom. Several solutions have proposed utilizing…