A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Develops a new model to track financial market interconnectedness over time.
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. T…
Paper proposes a new measure for systemic credit concentration risk.
In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global econom…
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial entities are crucial to understand and networks provide a natural framework for representing and studying such systems.…
Study examines business costs of Gulf crisis on Qatar and neighbors.
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural models of interconnected financial systems. However, beyond contagion research, t…
This study analyzes how cryptocurrency networks adapt to financial disruptions.
Study uses neural networks to filter financial spillovers from noise.
UBI model proves financial equilibrium exists.
The European Union and Eurozone present an inquisitive case of strongly interconnected network with high degree of dependence among nodes. This research focused on investment network of European Union and its major trading partners for specific time period 2001 to 2014. The changing investment patterns within Eurozone …
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Following [1] a Time-Varying Parameter Vector AutoRegressive (TVP-VAR) app…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network of exposures among banks. A potential loss distribution is obtained through a m…
In this paper we provide a conceptual overview of latent variable models within a probabilistic modeling framework, an overview that emphasizes the compositional nature and the interconnectedness of the seemingly disparate models commonly encountered in statistical practice.
A four-pronged approach to dealing with Social Science Phenomenon is outlined. This methodology is applied to Financial Services, Economic Growth and Well-Being. The four prongs are like the four directions for an army general looking for victory. Just like the four directions, we need to be aware that there is a degre…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of financial supervisors. We decompose systemic risk into a number of interconnected seg…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivativ…
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic Review, Elliott, Golub and Jackson proposed a simple model for capturing the dyn…
Study reveals dynamic linkage between Peanut and Soybean Oil futures markets.
This study examines financial spillovers in critical minerals investing, revealing ESG scores impact and role of energy and carbon markets.
Algorithm learns stock correlation matrix embedding using graph machine learning.
Dynamic model captures spatial, temporal, and spatiotemporal volatility effects.
Study quantifies systemic risk in DeFi using network analysis.
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the interconnectedness of the system entities and the corresponding contagion effects. This has…
Network analysis reveals changing cryptocurrency market leaders.
This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their interconnectedness. The measure relies on the decomposition of systemic risk into sub-components …
Simple linear models reveal complex cryptocurrency networks.
Study finds Binance's tether-margined contracts significantly impact bitcoin volatility.
Proposes a regularization approach to model German power derivative market, identifying significant risk spillovers.
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of cryptocurrencies with the largest userbases. These were assessed using two data…
New interpretation reconciles country and product complexity.
The paper predicts workload using process mining and neural networks.
Study examines financial structure's impact on non-financial firms' growth in Kenya.
Study shows financial literacy, social capital, and financial tech positively impact financial inclusion of Indonesian students.
Financial planners helped preserve and increase household net financial assets during the Great Recession.
Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, New…
Proposes LSTM for financial market trend forecasting.
Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatilit…
Model shows financial turbulence similar to turbulence, with wealth cascading from large to small entities.
We consider dynamics of financial markets as dynamics of expectations and discuss such a dynamics from the point of view of phenomenological thermodynamics. We describe a financial Carnot cycle and the financial analogue of a heat machine. We see, that while in physics a perpetuum mobile is absolutely impossible, in ec…
This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank credit network and an investment portfolio of banks. Bankruptcy reproductive ratio …
Model financial time series with MOGP for imputation and prediction.
Paper aims to use AI for detecting financial crimes, focusing on money laundering.
Financial networks reveal systemic risk, suggesting new regulatory strategies.
UniFinEval benchmarks financial models across text, images, and videos.
Paper assesses financial potential for enterprise development.
FinBloom enhances LLMs for real-time financial queries.