Econophysics Of Systemic Risk And Network Dynamics

Author : Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher : Springer Science & Business Media
Page : 295 pages
File Size : 52,9 Mb
Release : 2012-08-08
Category : Science
ISBN : 9788847025530

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Econophysics of Systemic Risk and Network Dynamics by Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh Pdf

The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and analyzing systemic risk, network dynamics and other topics. Of primary interest in these studies is the aspect of systemic risk, which has long been identified as a potential scenario in which financial institutions trigger a dangerous contagion mechanism, spreading from the financial economy to the real economy. This type of risk, long confined to the monetary market, has spread considerably in the recent past, culminating in the subprime crisis of 2008. As such, understanding and controlling systemic risk has become an extremely important societal and economic challenge. The Econophys-Kolkata VI conference proceedings are dedicated to addressing a number of key issues involved. Several leading researchers in these fields report on their recent work and also review contemporary literature on the subject.

Author : Prasanna Gai
Publisher : OUP Oxford
Page : 200 pages
File Size : 45,6 Mb
Release : 2013-03-28
Category : Business & Economics
ISBN : 9780191654060

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Systemic Risk by Prasanna Gai Pdf

Systemic Risk opens new ground in the study of financial crises. It treats the financial system as a complex adaptive system and shows how lessons from network disciplines - such as ecology, epidemiology, and statistical mechanics - shed light on our understanding of financial stability. Using tools from network theory and economics, it suggests that financial systems are robust-yet-fragile, with knife-edge properties that are greatly exacerbated by the hoarding of funds and the fire sale of assets by banks. This book studies the damaging network consequences of the failure of large inter-connected institutions, explains how key funding markets can seize up across the entire financial system, and shows how the pursuit of secured finance by banks in the wake of the global financial crisis can generate systemic risks. The insights are then used to model banking systems calibrated to data to illustrate how financial sector regulators are beginning to quantify financial system stress.

Author : Weidong Tian
Publisher : MDPI
Page : 146 pages
File Size : 50,9 Mb
Release : 2020-07-01
Category : Social Science
ISBN : 9783039362981

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Systemic Risk and Reinsurance by Weidong Tian Pdf

This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher : Springer
Page : 360 pages
File Size : 44,5 Mb
Release : 2015-01-27
Category : Science
ISBN : 9783319084732

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Econophysics and Data Driven Modelling of Market Dynamics by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh Pdf

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.

Author : Ms.Sheri M. Markose
Publisher : International Monetary Fund
Page : 58 pages
File Size : 45,5 Mb
Release : 2012-11-30
Category : Business & Economics
ISBN : 9781475577501

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Systemic Risk from Global Financial Derivatives by Ms.Sheri M. Markose Pdf

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 49,5 Mb
Release : 2013-09-07
Category : Science
ISBN : 9783319000237

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Econophysics of Agent-Based Models by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh Pdf

The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of "Econophysics" who have undertaken agent-based modelling, comparison with empirical studies and related investigations. Most standard economic models assume the existence of the representative agent, who is “perfectly rational” and applies the utility maximization principle when taking action. One reason for this is the desire to keep models mathematically tractable: no tools are available to economists for solving non-linear models of heterogeneous adaptive agents without explicit optimization. In contrast, multi-agent models, which originated from statistical physics considerations, allow us to go beyond the prototype theories of traditional economics involving the representative agent. This book is based on the Econophys-Kolkata VII Workshop, at which many such modelling efforts were presented. In the book, leading researchers in their fields report on their latest work, consider recent developments and review the contemporary literature.

Author : Bikas K. Chakrabarti,Arnab Chatterjee,Asim Ghosh,Sudip Mukherjee,Boaz Tamir
Publisher : Springer
Page : 208 pages
File Size : 46,5 Mb
Release : 2017-07-19
Category : Business & Economics
ISBN : 9783319613529

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Econophysics of the Kolkata Restaurant Problem and Related Games by Bikas K. Chakrabarti,Arnab Chatterjee,Asim Ghosh,Sudip Mukherjee,Boaz Tamir Pdf

This book provides the first comprehensive introduction to multi-agent, multi-choice repetitive games, such as the Kolkata Restaurant Problem and the Minority Game. It explains how the tangible formulations of these games, using stochastic strategies developed by statistical physicists employing both classical and quantum physics, have led to very efficient solutions to the problems posed. Further, it includes sufficient introductory notes on information-processing strategies employing both classical statistical physics and quantum mechanics. Games of this nature, in which agents are presented with choices, from among which their goal is to make the minority choice, offer effective means of modeling herd behavior and market dynamics and are highly relevant to assessing systemic risk. Accordingly, this book will be of interest to economists, physicists, and computer scientists alike.

Author : Gheorghe Savoiu
Publisher : Academic Press
Page : 180 pages
File Size : 42,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9780124046269

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Econophysics by Gheorghe Savoiu Pdf

The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making

Author : Tsutomu Watanabe,Iichiro Uesugi,Arito Ono
Publisher : Springer
Page : 263 pages
File Size : 52,6 Mb
Release : 2015-06-02
Category : Business & Economics
ISBN : 9784431553908

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The Economics of Interfirm Networks by Tsutomu Watanabe,Iichiro Uesugi,Arito Ono Pdf

This book is one of the first comprehensive works to fill the knowledge gap resulting from the limited number of empirical studies on interfirm networks. The in-depth empirical research presented here is based on a massive transaction relationship database of approximately 400,000 Japanese firms. This volume, unlike others, focuses on the role of interfirm networks in three different fields: (1) macroeconomic activities, (2) economic geography and firm dynamics, and (3) firm–bank relationships. The database for this work is constructed in collaboration with Japan's largest credit research company, Teikoku Data Bank, and covers a substantial portion of Japanese firms with information on firms' transaction partners, shareholders, financial institutions, and other attributes, including their locations and performance. Networks prevail in many aspects of economic activities and play a major role in explaining a wide variety of economic phenomena from business cycles to knowledge spillovers, which has motivated economists to produce a number of excellent works. In the policy arena, there has been a growing concern on the vulnerabilities of networks based on the casual observation that idiosyncratic shocks on firms can be amplified through inter-firm connections and leads to a systemic crisis. Typical examples are the manufacturing supply-chain networks in the automobile and electronics industries which propagated regionally concentrated shocks (the Great East Japan Earthquake and floods in Thailand in 2011) into global ones. An abundance of theoretical literature on the formation and functions of networks is available already. This book breaks new ground, however, and provides an excellent opportunity for the reader to gain a more integrated understanding of the role of networks in the economy. The Economics of Interfirm Networks will be of special interest to economists and practitioners seeking empirical and quantitative knowledge on interfirm and firm–bank networks.

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska
Publisher : Springer
Page : 256 pages
File Size : 43,7 Mb
Release : 2017-01-11
Category : Science
ISBN : 9783319477053

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Econophysics and Sociophysics: Recent Progress and Future Directions by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska Pdf

This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature. A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in different aspects of life. It is possible to observe and characterize average behaviors of members of a society, an example being voting behavior. Moreover, the dynamic nature of interaction within any economic sector comprising numerous cooperatively interacting agents has many features in common with the interacting systems of statistical physics. It is on these bases that interest has grown in the application within sociology and economics of the tools of statistical mechanics. This book will be of value for all with an interest in this flourishing field.

Author : Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Kiran Sharma
Publisher : Springer
Page : 272 pages
File Size : 52,5 Mb
Release : 2019-04-02
Category : Science
ISBN : 9783030113643

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New Perspectives and Challenges in Econophysics and Sociophysics by Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Kiran Sharma Pdf

This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. Billions of agents interact with each other, giving rise to complex dynamics of economic quantities at the micro and macro levels. With the availability of huge data sets, researchers can address questions at a much more granular level than was previously possible. Fundamental questions regarding the aggregation of actions and information and the coordination, complexity, and evolution of economic and financial networks are currently receiving much attention in the econophysics research agenda. In parallel, the sociophysics literature has focused on large-scale social data and their interrelations. In this book, leading researchers from different communities – economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others – report on their recent work and their analyses of economic and social behavior.

Author : Gheorghe Săvoiu,Constantin Andronache
Publisher : Elsevier Inc. Chapters
Page : 178 pages
File Size : 47,8 Mb
Release : 2012-11-27
Category : Business & Economics
ISBN : 9780128068700

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Econophysics by Gheorghe Săvoiu,Constantin Andronache Pdf

Author : James Ming Chen
Publisher : Springer
Page : 287 pages
File Size : 48,9 Mb
Release : 2017-10-04
Category : Business & Economics
ISBN : 9783319634654

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Econophysics and Capital Asset Pricing by James Ming Chen Pdf

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.

Author : Subhrangshu Sekhar Manna,Attilio L. Stella,Peter Grassberger,Ronald Dickman
Publisher : Frontiers Media SA
Page : 143 pages
File Size : 52,9 Mb
Release : 2022-01-28
Category : Science
ISBN : 9782889742196

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Self-Organized Criticality, Three Decades Later by Subhrangshu Sekhar Manna,Attilio L. Stella,Peter Grassberger,Ronald Dickman Pdf

Author : Parongama Sen,Bikas K. Chakrabarti
Publisher : Oxford University Press
Page : 298 pages
File Size : 52,7 Mb
Release : 2014
Category : Computers
ISBN : 9780199662456

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Sociophysics: An Introduction by Parongama Sen,Bikas K. Chakrabarti Pdf

This book discusses the study and analysis of the physical aspects of social systems and models, inspired by the analogy with familiar models of physical systems and possible applications of statistical physics tools. Unlike the traditional analysis of the physics of macroscopic many-body or condensed matter systems, which is now an established and mature subject, the upsurge in the physical analysis and modelling of social systems, which are clearly many-body dynamical systems, is a recent phenomenon. Though the major developments in sociophysics have taken place only recently, the earliest attempts of proposing "Social Physics" as a discipline are more than one and a half centuries old. Various developments in the mainstream physics of condensed matter systems have inspired and induced the recent growth of sociophysical analysis and models. In spite of the tremendous efforts of many scientists in recent years, the subject is still in its infancy and major challenges are yet to be taken up. An introduction to these challenges is the main motivation for this book.