The price of complexity in financial networks

被引：107

作者：

Battiston, Stefano ^{[1
]}

Caldarelli, Guido ^{[2
,3
,4
]}

May, Robert M. ^{[5
]}

Roukny, Tarik ^{[6
,7
,8
]}

Stiglitz, Joseph E. ^{[9
]}

机构：

[1] Univ Zurich, Dept Banking & Finance, FINEXUS Ctr Financial Networks & Sustainabil, CH-8032 Zurich, Switzerland

[2] IMT Sch Adv Studies, I-55100 Lucca, Italy

[3] CNR, Inst Complex Syst, I-00185 Rome, Italy

[4] London Inst Math Sci, London W1K 2XF, England

[5] Univ Oxford, Oxford OX1 1HP, England

[6] Univ Libre Bruxelles, Inst Rech Interdisciplinaires & Dev Intelligence, Ecole Polytech, B-1050 Brussels, Belgium

[7] Univ Libre Bruxelles, Solvay Brussels Sch Econ & Management, B-1050 Brussels, Belgium

[8] Fonds Natl Rech Sci, B-1000 Brussels, Belgium

[9] Columbia Univ, New York, NY 10027 USA

来源：

PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA | 2016年 / 113卷 / 36期

关键词：

financial contagion; financial networks; complexity; default probability; systemic risk; SYSTEMIC RISK; BANKING SYSTEMS; CONTAGION; MODEL; STABILITY;

D O I：

10.1073/pnas.1521573113

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the probability of systemic defaults. From the point of view of financial regulators, our findings show that the complexity of financial networks may decrease the ability to mitigate systemic risk, and thus it may increase the social cost of financial crises.

引用

页码：10031 / 10036

页数：6

共 50 条

[1] Strategic price complexity in retail financial markets
Carlin, Bruce I.
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2009, 91 (03) : 278 - 287
[2] Sensitivity and computational complexity in financial networks
Hemenway, Brett
Khanna, Sanjeev
[J]. ALGORITHMIC FINANCE, 2016, 5 (3-4) : 95 - 110
[3] Modeling and complexity of stochastic interacting Levy type financial price dynamics
Wang, Yiduan
Zheng, Shenzhou
Zhang, Wei
Wang, Jun
Wang, Guochao
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 499 : 498 - 511
[4] Reducing the complexity of financial networks using network embeddings
M. Boersma
A. Maliutin
S. Sourabh
L. A. Hoogduin
D. Kandhai
[J]. Scientific Reports, 10
[5] Rethinking global financial networks China, politics, and complexity
Wojcik, Dariusz
[J]. DIALOGUES IN HUMAN GEOGRAPHY, 2018, 8 (03) : 272 - 275
[6] Reducing the complexity of financial networks using network embeddings
Boersma, M.
Maliutin, A.
Sourabh, S.
Hoogduin, L. A.
Kandhai, D.
[J]. SCIENTIFIC REPORTS, 2020, 10 (01)
[7] Forecasting price movements of global financial indexes using complex quantitative financial networks
Seong, Nohyoon
Nam, Kihwan
[J]. KNOWLEDGE-BASED SYSTEMS, 2022, 235
[8] Statistical estimation of time-varying complexity in financial networks
Aditi Rai
Avijit Bansal
Anindya S. Chakrabarti
[J]. The European Physical Journal B, 2019, 92
[9] Statistical estimation of time-varying complexity in financial networks
Rai, Aditi
Bansal, Avijit
Chakrabarti, Anindya S.
[J]. EUROPEAN PHYSICAL JOURNAL B, 2019, 92 (10):
[10] The price of complexity
Nicky Dean
[J]. Nature Energy, 2022, 7 : 905 - 905

← 1 2 3 4 5 →