Complex Networks in Finance

The present paper can be considered as divided in two parts: in the first one, we provide a review of the methods of complex networks that have been mainly used in the applications to the analysis of financial data. We focus on the following topics: the usage of the correlation matrix, systemic risk, integrated ownership and control, board of directors, interbank networks, and mutual funds holdings structure. The second part shows this last subject and provides new analyses.

[1]  G. Rotundo,et al.  Ownership and control in shareholding networks , 2010 .

[2]  M. Tumminello,et al.  When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators , 2010, 1004.4272.

[3]  Christoffer Kok,et al.  Modeling Emergence of the Interbank Networks , 2014, SSRN Electronic Journal.

[4]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[5]  Michael Boss,et al.  Network topology of the interbank market , 2003, cond-mat/0309582.

[6]  G. Rotundo,et al.  Mutual funds relationships and performance analysis , 2015 .

[7]  A. Timmermann,et al.  Network centrality and pension fund performance , 2015 .

[8]  M. Cropper,et al.  Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade? , 1998, Journal of Political Economy.

[9]  R. Mantegna.  Hierarchical structure in financial markets , 1998, cond-mat/9802256.

[10]  Marco Tomassini,et al.  Worldwide spreading of economic crisis , 2010, 1008.3893.

[11]  Frank Schweitzer,et al.  A k-shell decomposition method for weighted networks , 2012, ArXiv.

[12]  F. Lillo,et al.  Topology of correlation-based minimal spanning trees in real and model markets. , 2002, Physical review. E, Statistical, nonlinear, and soft matter physics.

[13]  Albert-László Barabási,et al.  Statistical mechanics of complex networks , 2001, ArXiv.

[14]  Rosanna Grassi,et al.  Shareholding Networks and Centrality: An Application to the Italian Financial Market , 2009 .

[15]  Christoffer Kok,et al.  Modelling the emergence of the interbank networks , 2015 .

[16]  Prasanna Gai,et al.  Complexity, concentration and contagion , 2011 .

[17]  Rosanna Grassi,et al.  Interlocking directorates in Italy: persistent links in network dynamics , 2013, Journal of Economic Interaction and Coordination.

[18]  Edson Bastos e Santos,et al.  Handbook on Systemic Risk: Network Structure and Systemic Risk in Banking Systems , 2013 .

[19]  G. Iori,et al.  Market Microstructure, Banks' Behaviour, and Interbank Spreads , 2013 .

[20]  Spiros Bougheas,et al.  Complex Financial Networks and Systemic Risk: A Review , 2014, SSRN Electronic Journal.

[21]  Yaron Leitner.  Federal Reserve Bank of Philadelphia , 2004 .

[22]  J. Mi'skiewicz,et al.  G7 country Gross Domestic Product (GDP) time correlations. A graph network analysis , 2006 .

[23]  U. Lg,et al.  Cluster Expansion Method for Evolving Weighted Networks Having Vector-Like Nodes , 2008 .

[24]  G. Caldarelli,et al.  DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk , 2012, Scientific Reports.

[25]  Ekrem Duman,et al.  Use of Risk Analysis in Computer-Aided Persuasion , 2011 .

[26]  Shilpa Chakravartula,et al.  Complex Networks: Structure and Dynamics , 2014 .

[27]  Stefano Battiston,et al.  The Network of Global Corporate Control , 2011, PloS one.

[28]  Albert-László Barabási,et al.  Scale-free networks , 2008, Scholarpedia.

[29]  J. Blocher.  Network Externalities in Mutual Funds , 2016 .

[30]  Prasanna Gai,et al.  Contagion in financial networks , 2010, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences.

[31]  Tomaso Aste,et al.  Introduction to Complex and Econophysics Systems:. A navigation map , 2010 .

[32]  Jean-Loup Guillaume,et al.  Fast unfolding of communities in large networks , 2008, 0803.0476.

[34]  David Flath,et al.  Indirect shareholding within Japan's business groups☆ , 1992 .

[35]  M. Ausloos,et al.  Cluster structure of EU-15 countries derived from the correlation matrix analysis of macroeconomic index fluctuations , 2006 .

[36]  Giulia Rotundo,et al.  Network of companies: an analysis of market concentration in the Italian stock market , 2014 .

[37]  Diego Garlaschelli,et al.  Fitness-dependent topological properties of the world trade web. , 2004, Physical review letters.

[38]  Leonidas Sandoval Junior,et al.  Correlation of financial markets in times of crisis , 2011, 1102.1339.

[39]  Ariane Chapelle,et al.  Controlling Firms Through the Majority Voting Rule , 2005 .

[40]  F. Pozzi,et al.  Dynamical correlations in financial systems , 2007, SPIE Micro + Nano Materials, Devices, and Applications.

[41]  N. Marinelli,et al.  Sovereign Wealth Funds and Target Firms: Does ‘Networking’ Matter? , 2014 .

[42]  Seong Eun Maeng,et al.  COMPLEX NETWORKS AND MINIMAL SPANNING TREES IN INTERNATIONAL TRADE NETWORK , 2012 .

[43]  Marcel Ausloos,et al.  Has the world economy reached its globalization limit , 2009, 0910.3695.

[44]  Nicola Cetorelli,et al.  Prestigious Stock Exchanges: A Network Analysis of International Financial Centers , 2009 .

[45]  Edson Bastos e Santos,et al.  Network Structure and Systemic Risk in Banking Systems , 2010 .

[46]  J. Gower,et al.  Metric and Euclidean properties of dissimilarity coefficients , 1986 .

[47]  L. Tajoli,et al.  The World Trade Network , 2011 .

[48]  Christopher Polk,et al.  Connected Stocks: Connected Stocks , 2014 .

[49]  J. V. Andersen,et al.  “Price-Quakes” Shaking the World's Stock Exchanges , 2011, PloS one.

[50]  Guido Caldarelli,et al.  The Structure of Financial Networks , 2010, Network Science.

[51]  M. Steinbacher,et al.  Credit Contagion in Financial Markets: A Network-Based Approach , 2013 .

[52]  Franklin Allen,et al.  Networks in Finance , 2008 .

[53]  Giulia Rotundo,et al.  Complex networks analysis in socioeconomic models , 2014, 1403.6767.

[54]  D. Brookfield,et al.  Identifying reference companies using the book-to-market ratio: a minimum spanning tree approach , 2013, New Facets of Economic Complexity in Modern Financial Markets.

[55]  Daniel J. Brass,et al.  Network Analysis in the Social Sciences , 2009, Science.

[56]  Rosanna Grassi,et al.  The economic effect of interlocking directorates in Italy: new evidence using centrality measures , 2014, Comput. Math. Organ. Theory.

[57]  César A. Hidalgo,et al.  Scale-free networks , 2008, Scholarpedia.

[58]  Marcel Ausloos,et al.  Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices , 2008 .

[59]  Andreea Minca,et al.  Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability , 2014 .

[60]  Rafael Solis,et al.  Visualizing Stock-Mutual Fund Relationships Through Social Network Analysis , 2009 .

[61]  Managerial Sharing, Mutual Fund Connections, and Performance , 2015 .

[62]  Lawrence C. Rose,et al.  Topology of Foreign Exchange Markets Using Hierarchical Structure Methods , 2006 .

[63]  Mark E. J. Newman,et al.  Structure and Dynamics of Networks , 2009 .

[64]  A. Vespignani,et al.  The architecture of complex weighted networks. , 2003, Proceedings of the National Academy of Sciences of the United States of America.

[65]  Dong Lou,et al.  Connected Stocks , 2014 .

[66]  Ariane Chapelle,et al.  Control consolidation with a threshold: an algorithm , 2006 .

[67]  Sheri M Markose,et al.  ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk , 2012 .

[68]  Marcel Ausloos,et al.  Entropy Correlation Distance Method Applied to Study Correlations between the Gross Domestic Product of Rich Countries , 2010, Int. J. Bifurc. Chaos.

[69]  Christopher J. Malloy,et al.  The Small World of Investing: Board Connections and Mutual Fund Returns , 2007, Journal of Political Economy.

[70]  G. Caldarelli,et al.  Networks of equities in financial markets , 2004 .

[71]  J. V. Andersen,et al.  Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators , 2015, 1602.07452.

[72]  Franklin Allen,et al.  Financial Contagion , 2000, Journal of Political Economy.

[73]  K. Kaski,et al.  The International Trade Network: weighted network analysis and modelling , 2007, 0707.4343.

[74]  Dunia López-Pintado,et al.  Contagion and coordination in random networks , 2006, Int. J. Game Theory.

[75]  Rosanna Grassi,et al.  Vertex centrality as a measure of information flow in Italian Corporate Board Networks , 2010 .

[76]  Petre Caraiani,et al.  Using Complex Networks to Characterize International Business Cycles , 2013, PloS one.

[77]  Stefania Vitali,et al.  Network Features of European Trading Venues , 2012 .

[78]  Corporate board network and information flows in the Italian Stock Exchange , 2008 .

[79]  Marcel Ausloos,et al.  Cluster Expansion Method for Evolving Weighted Networks Having Vector-like Nodes , 2008, 0802.4170.

[80]  Christopher J. Malloy,et al.  Sell Side School Ties , 2008 .

[81]  Li Wang,et al.  The Topology of Overlapping Portfolio Networks , 2015 .

[82]  J. Blocher.  The Externalities of Crowded Trades , 2013 .