We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest ei…
On-device research index
arXiv research
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.
169,051 papers · 148 categories
Trend · papers per month
48 results for “global financial crisis”
The study examines cross-border lending behavior from G7 countries, showing changes in driving factors after the 2008 financial crisis.
problem Understanding the factors affecting cross-border lending behavior among G7 countries.
method Employed a gravity model to analyze bilateral and global factors influencing cross-border lending.
result Driving factors for cross-border lending have changed since the 2008 financial crisis, with continent variable becoming more significant.
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using…
Anomaly Detection in Global Financial Markets with Graph Neural Networks and Nonextensive Entropycs.AI
Study detects anomalies in financial markets using GNN and nonextensive entropy.
problem Detecting anomalies in global financial markets with many correlated assets.
method Used Graph Neural Networks (GNN) with nonextensive entropy to measure uncertainty.
result Anomalies are statistically different for nonextensive entropy parameters before, during, and after a crisis.
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a rob…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks gen…
The paper examines how randomness in forex returns increases during financial crises.
problem Measuring randomness in forex returns during financial crises.
method Approximate Entropy and Sample Entropy statistics.
result Randomness in forex returns decreases during financial crises, as evidenced by lower entropy values.
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
problem Fundamental vulnerabilities in interconnected banking systems during the 2008 financial crisis were inadequately addressed by existing frameworks.
method Developed a unified spatial-network framework using spectral analysis of network Laplacian operators combined with spatial difference-in-differences identification.
result Banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD 3.4 trillion losses from financial institutions around the world between 2007 and …
Python tool detects economic crises from S&P500 correlation data.
problem Identifying economic crises from market correlation data.
method Bayesian multi-trend change point analysis.
result Mean market correlation correlates with major economic events.
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power spectra which give the crucial information about the variance distribution across …
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This means that it is pertinent to understand the efficiency of these markets. This …
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, fractal markets hy…
New measure assesses systemic risk in financial networks using high-order clustering coefficients.
problem Assessing systemic risk in financial networks.
method Defines systemic risk based on high-order clustering coefficients of nodes in financial networks.
result Empirical experiments show the effectiveness of the new systemic risk measure.
General Equilibrium Amplification and Crisis Vulnerability: Cross-Crisis Evidence from Global Banksecon.EM
This study quantifies systemic importance in global banks using a continuous framework that amplifies localized shocks.
problem Analyzing financial contagion and systemic risk in global banks.
method Developed a continuous framework incorporating geographic proximity and interbank network linkages, using a master equation and Feynman-Kac representation.
result The amplification factor correctly identifies systemically important institutions and predicts crisis outcomes.
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stoc…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the biparti…
The paper analyzes the current state of the world economy and offers a short-term forecast of its development. Our analysis of log-periodic oscillations in the DJIA dynamics suggests that in the second half of 2017 the United States and other more developed countries could experience a new recession, due to the third p…
The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis. Following this methodological perspective we introduce here the Accounting Netw…
Study examines Fed's pandemic communication strategies.
problem Analyzing Federal Reserve's communication during the COVID-19 pandemic.
method Sentiment analysis, topic modeling, comparative analysis of previous crises.
result Fed's communication during the pandemic focused on financial stability, market volatility, social welfare, and unconventional monetary policy.
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisisq-fin.RM
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. H…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discuss…
Our knowledge about the evolution of guarantee network in downturn period is limited due to the lack of comprehensive data of the whole credit system. Here we analyze the dynamic Chinese guarantee network constructed from a comprehensive bank loan dataset that accounts for nearly 80% total loans in China, during 01/200…
In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies, developing new effective …
This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can asse…
Study improves systemic risk assessment by considering local network environments.
problem Identifying systemic financial institutions using network metrics.
method Two-step procedure: 1) recover network communities, 2) regress vulnerability on topological measures at global, local, and aggregated levels.
result Local network metrics predict distress better than global metrics during financial crises.
The global financial crisis, beginning in 2008, took an historic toll on national economies around the world. Following equity market crashes, unemployment rates rose significantly in many countries: Italy was among those. What will be the impact of such large shocks on Italian healthcare finances? An empirical model f…
Research evaluates three risk models for portfolio construction during market downturns.
problem Challenges in constructing quantitative portfolios using statistical risk models.
method Three statistical risk models tested on 1,000 stocks across four periods.
result Models consistently outperform market returns in various crises.
Study examines how information flows in Indian stock market during crises.
problem Understanding information diffusion in financial networks during market turbulence.
method Applied communicability, a measure of ease of information flow, to financial networks.
result Approximately 70% and 80% of stock pairs exhibit significant changes in communicability during crises.
Better to stay apart: asset commonality, bipartite network centrality, and investment strategiesq-fin.PM
Better investment strategies identified through a network metric of asset commonality.
problem Identifying investment strategies based on fund portfolio asset popularity.
method Bipartite network analysis of mutual funds and their holdings, calculating the Average Commonality Coefficient (ACC).
result Funds investing in less popular assets outperform those in more popular ones, even after adjusting for standard factors.
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial system and the interdependence of financial markets, respectively. Two early-warni…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial contagion" process in which insolvencies of individual entities propagate through the…
Financial contagion spreads through international relations, posing systemic risk.
problem Systemic risk in global financial networks due to debt crises.
method Epidemiological model applied to a network of European countries using bilateral foreign claims data.
result Countries experiencing debt crises can threaten global financial stability, akin to a 'financial virus'.
After September 2008, the advanced economies severe decline caused demand for emerging economies' exports to drop and the crisis became truly global, much deeper and broader than expected. In these times of global depression, most countries and companies are affected, some more than others. The financial crisis has tur…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tappin…
Macroeconomic theories of growth and wealth distribution have an outsized influence on national and international social and economic policies. Yet, due to a relative lack of reliable, system wide data, many such theories remain, at best, unvalidated and, at worst, misleading. In this paper, we introduce a novel econom…
Study reveals structural differences in financial networks near and far from crises using balance theory.
problem Understanding the complex behavior of stocks and their collective behavior in financial crises.
method Investigates financial networks by triplet interaction in the framework of balance theory, focusing on higher-order interactions.
result Formation of an ordered structure in crisis networks makes them resistant to disorder, with a critical temperature measuring crisis strength.
An exploration of the mathematical structure and behavioural biases of 21st century financial crisesq-fin.ST
Study financial crises using mathematical techniques to compare equity performance.
problem Comparing financial crises to understand market dynamics and investor strategies.
method New mathematical techniques including portfolio diversification, linear operator method, and combinatorial portfolio optimisation.
result New methods to quantify and compare equity returns during different market crises.
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the necessity for comprehensive risk measures capable of capturing the complexity and height…
Study uses vine copulas to optimize financial portfolios during and after the financial crisis.
problem Optimizing financial portfolios during and after the financial crisis.
method Modeling dependency structures using vine copulas, testing different portfolio strategies, analyzing various copulas.
result Vine copulas reduce portfolio risk better than simple copulas, especially during the financial crisis.
Modeling financial networks to predict systemic crises.
problem Predicting systemic financial crises in complex networks.
method Developed inhomogeneous random financial networks (IRFNs) to model bank interactions.
result Found a condition for a locally tree-like independence (LTI) property, leading to fixed point equations for system equilibrium.
Since 2007, several contributions have tried to identify early-warning signals of the financial crisis. However, the vast majority of analyses has focused on financial systems and little theoretical work has been done on the economic counterpart. In the present paper we fill this gap and employ the theoretical tools of…
Study uses epidemiological models to analyze financial contagion risks.
problem Analyzing and controlling contagion risks in the global financial network.
method Formulated an optimal control problem based on infection spread models.
result The approach effectively describes the world economy's financial contagion.
Model shows worldwide trade crises can be localized or global, depending on trade balance.
problem Understanding and predicting worldwide trade crises.
method Modeling worldwide trade network using Google matrix analysis and bankruptcy threshold.
result Crisis contagion is localized for high trade balance, global for low trade balance.
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 collapses and/or crises. Existing works focus mainly on the network structure within…
The paper uses machine learning to predict the impact of the Ukraine crisis on financial markets.
problem Quantifying the impact of the Ukraine crisis on financial markets.
method Selected economic indexes, created datasets, and used machine learning (Linear Regression) for forecasting.
result The model accurately predicted the effects of the Ukraine crisis on financial markets.
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPsq-fin.PM
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on optimization algorithms applied in the calibration exercise. …