Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/23940
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dc.contributor.authorKuyyamudi, Chandrashekar-
dc.contributor.authorAnindya, Chakrabarti-
dc.contributor.authorSinha, Sitabhra-
dc.date.accessioned2021-05-29T05:14:15Z-
dc.date.available2021-05-29T05:14:15Z-
dc.date.issued2019-
dc.identifier.citationKuyyamudi, C., Chakrabarti, A. S., & Sinha, S. (2019). Emergence of frustration signals systemic risk. Physical Review E-Statistical Nonlinear and Soft Matter Physics, 99(5). doi:https://doi.org/10.1103/PhysRevE.99.052306en_US
dc.identifier.issn24700053 (Online)-
dc.identifier.issn24700045 (Print)-
dc.identifier.urihttp://hdl.handle.net/11718/23940-
dc.description.abstractWe show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics in the New York Stock Exchange, the largest financial market in the world, for almost a century and show that periods marked by systemic crisis are associated with emergence of frustration. This is indicated by the loss of structural balance in the networks of interaction between stocks. Moreover, the mesoscopic organization of the networks during these periods exhibits prominent core-periphery organization. This suggests an increased degree of coherence in the collective dynamics of the system, which is reinforced by our observation of the transition to delocalization in the dominant eigenmodes when the systemic risk builds up. While frustration has been associated with phase transitions in physical systems such as spin glasses, its role as a signal for systemic risk buildup leading to severe crisis as shown here provides a novel perspective into the dynamical processes leading to catastrophic failures in complex systems.en_US
dc.language.isoenen_US
dc.publisherPhysical Review E-Statistical Nonlinear and Soft Matter Physicsen_US
dc.subjectSystemic risken_US
dc.subjectFrustration signalsen_US
dc.subjectFinancial marketen_US
dc.titleEmergence of frustration signals systemic risken_US
dc.typeArticleen_US
Appears in Collections:Journal Articles

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