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Disentangling shock diffusion on complex networks: identification through graph planarity
(Journal of Complex Networks, 2020-06)
Large scale networks delineating collective dynamics often exhibit cascading failures across nodes leading to a system-wide collapse. Prominent examples of such phenomena would include collapse on financial and economic ...
‘Too central to fail’ firms in bi-layered financial networks: evidence of linkages from the US corporate bond and stock markets
(Indian Institute of Management Ahmedabad, 2020-06-02)
Complex mutual dependencies of asset returns are recognized to contribute to systemic risk. A growing literature emphasizes that identification of vulnerable firms is a fundamental requirement for mitigating systemic risk ...
Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
(Indian Institute of Management Ahmedabad, 2020-07-01)
Computation of spectral structure and risk measures from networks of multivariate financial time series data has been at the forefront of the statistical finance literature for a long time. A standard mode of analysis is ...
Targeted interventions: consumption dynamics and distributional effects
(Indian Institute of Management Ahmedabad, 2021-09-02)
Income distribution-based targeted interventions are quite common in developing economies. However, often due to institutional frictions, identification of the recipients happens at a lower frequency than the frequency of ...
Strategic Connections in a hierarchical society: wedge between observed and fundamental valuations
(Springer Science + Business Media, 2021-01-01)
In an interconnected society, social networks grow through formation of strategic connections based on the hierarchy within the social network. Often, the hierarchy becomes self-reinforcing and the observed valuations of ...
Gravity and depth of social media networks
(Oxford University Press, 2021-05-27)
Structures of social media networks provide a composite view of dyadic connectivity across social actors, which reveals the spread of local and global influences of those actors in the network. Although social media network ...
Measuring Complexity in Financial Data
(FRONTIERS MEDIA SA, 2020)
The stock market is a canonical example of a complex system, in which a large number of interacting agents lead to joint evolution of stock returns and the collective market behavior exhibits emergent properties. However, ...