相关论文: Core-Periphery Dynamics in Market-Conditioned Fina…

We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…

Mapping microstructure to properties is central to materials science. Perhaps most famously, the Hall-Petch relationship relates average grain size to strength. More challenging has been deriving relationships for properties that depend on…

It has been proved that network structure plays an important role in addressing a collective behaviour. In this paper we consider a network of firms and corporations and study its metastable features in an Ising based model. In our model,…

A key topic in network science is the detection of intermediate or meso-scale structures. Community, core-periphery, disassortative and other partitions allow us to understand the organisation and function of large networks. In this work we…

We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…

Forecasting models for systematic trading strategies do not adapt quickly when financial market conditions rapidly change, as was seen in the advent of the COVID-19 pandemic in 2020, causing many forecasting models to take loss-making…

Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…

With the rapid growth of the green bond market amid increasing emphasis on sustainable development, understanding its structural properties and potential systemic risks has become essential. This study applies Minimum Spanning Tree (MST)…

There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…

Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…

The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…

Networks can have various types of mesoscale structures. One type of mesoscale structure in networks is core-periphery structure, which consists of densely-connected core nodes and sparsely-connected peripheral nodes. The core nodes are…

We address the problem of mitigating damage to a power grid following a storm by managing a vehicle that has to be routed while simultaneously performing two tasks: learning about damage from the grid (which requires direct observation) and…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…

Financial fraud detection in transaction networks involves modeling sparse anomalies, dynamic patterns, and severe class imbalance in the presence of temporal drift in the data. In real-world transaction systems, a suspicious transaction is…

We introduce a multiscale measure of network instability based on the joint use of Detrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST) filtering. The proposed metric, the Elastic Detrended Cross-Correlation Ratio…

We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate…

We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…

This study examines market behavior in critical mineral investments using a novel analytical framework that combines change-point detection (PELT algorithm) with cross-sectional analysis. This research analyzes ESG-ranked critical mineral…