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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 ...
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, ...