金融复杂网络上的风险传播[Appl. Sci.专栏第九篇发表论文]

已有 876 次阅读 2023-1-17 17:02 |系统分类:论文交流

我在Applied Sciences(综合性、交叉性期刊,CiteScore=3.70IF=2.84)组织了一个Special Issue,大题目是“大数据分析进展”,比较宽泛。该专栏的推出主要是为了回应因为可获取数据和数据分析的平台、工具的快速增长给自然科学和社会科学带来的重大影响。我们特别欢迎(但不限于)下面四类稿件:(1)数据分析中的基础理论分析,例如一个系统的可预测性(比如时间序列的可预测性)、分类问题的最小误差分析、各种数据挖掘结果的稳定性和可信度分析;(2)数据分析的新方法,例如挖掘因果关系的新方法(这和Topic 1也是相关的)、多模态分析的新方法、隐私计算的新方法等等;(3)推出新的、高价值的数据集、数据分析平台、数据分析工具等等;(4)把大数据分析的方法用到自然科学和社会科学的各个分支(并获得洞见),我们特别喜欢用到那些原来定量化程度不高的学科。




Spatiotemporal Patterns of Risk Propagation in Complex Financial Networks


The methods of complex networks have been extensively used to characterize information flow in complex systems, such as risk propagation in complex financial networks. However, network dynamics are ignored in most cases despite systems with similar topological structures exhibiting profoundly different dynamic behaviors. To observe the spatiotemporal patterns of risk propagation in complex financial networks, we combined a dynamic model with empirical networks. Our analysis revealed that hub nodes play a dominant role in risk propagation across the network and respond rapidly, thus exhibiting a degree-driven effect. The influence of key dynamic parameters, i.e., infection rate and recovery rate, was also investigated. Furthermore, the impacts of two typical characteristics of complex financial systems—the existence of community structures and frequent large fluctuations—on the spatiotemporal patterns of risk propagation were explored. About 30% of the total risk propagation flow of each community can be explained by the top 10% nodes. Thus, we can control the risk propagation flow of each community by controlling a few influential nodes in the community and, in turn, control the whole network. In extreme market states, hub nodes become more dominant, indicating better risk control.


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