Naslov
Inferring default cascades in financial systems

Autori
Barjašić, Irena ; Štefančić , Hrvoje ; Zlatić, Vinko

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
Network Science Society Conference 2020

Mjesto i datum
Rim, Italija, 17.09.2020. - 25.09.2020

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
inference on networks ; contact processes ; systemic risk and economic networks

Sažetak
In finance, cascading failures of companies are an important issue, they impose danger on all market participants, and can lead to a systemic failure. Therefore, detecting cascades is of vital importance for the market itself. We propose test statistics for inferring such behaviour in a market. In addition to real data of company defaults, we combine two Poisson processes, to simulate the company failure process. The simulations are driven on Erdos-Renyi networks, and for each simulation, a randomized reference model is created. Using the simulated data, we aim to choose the best statistic for different ranges of network and process parameters. For quantifying the difference between statistics we used the Kolmogorov-Smirnov test.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Interdisciplinarne prirodne znanosti

POVEZANOST RADA