By Gabrielle Demange (auth.), Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Asim Ghosh (eds.)
The fundamental target of the publication is to provide the information and examine findings of lively researchers reminiscent of physicists, economists, mathematicians and monetary engineers operating within the box of “Econophysics,” who've undertaken the duty of modeling
and examining systemic danger, community dynamics and different topics.
Of basic curiosity in those reports is the point of systemic danger, which has lengthy been pointed out as a possible situation during which monetary associations set off a perilous contagion mechanism, spreading from the monetary economic system to the true economy.
This kind of chance, lengthy limited to the financial industry, has unfold significantly within the fresh earlier, culminating within the subprime predicament of 2008. As such, realizing and controlling systemic probability has develop into an incredibly very important societal and fiscal problem. The Econophys-Kolkata VI convention court cases are devoted to addressing a few key matters concerned. numerous prime researchers in those fields document on their contemporary paintings and in addition overview modern literature at the subject.
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Additional info for Econophysics of Systemic Risk and Network Dynamics
The length of a tree is longer as the distances increase, and consequently when correlations are low. Thus, the more the length shortens, the more integrated the system is. On the √ contrary, in the case of random co-movements, the length of the tree is equal to 2. 6 represents the dynamic behavior of the normalized length of the MSTs in the spatial and in the maturity dimensions. In the spatial dimension, the general pattern is that the length decreases, which reflects the integration of the system.
Raynaud formation on how close a given node is to all others. We then turn to the MSTs. In order to study the robustness of the topologies, we compute the length of the MST, that shows the state of the system at a specific time. Survival ratios also indicate how the topology evolves over time. Finally, these survival ratios allow us a deeper investigation into the connections between markets in the 3-D analysis. In what follows, we retain a rolling time window of ΔT = 480 consecutive trading days.
These problems raise the question of the relevance of the Light crude oil as a worldwide benchmark. The petroleum products are followed by soy oil, other agricultural assets, the S&P500 contract, gold, the exchange rate USD/EUR, and the gasoil. A remarkable evolution is the sharp rise in the equity connectivity in the post-Lehman period, as opposed to 2001–2007. This finding corroborates those of  and . Finally, the more distant nodes are those representing the Eurodollar and the two natural gases.