Systemic Risk and Complex Systems: A Graph-Theory Analysis
Lautier, Delphine; Raynaud, Franck (2013), Systemic Risk and Complex Systems: A Graph-Theory Analysis, in Abergel, Frédéric; Chakraborti, Bikas K.; Chakraborti, Anirban; Ghosh, Asim, Econophysics of Systemic Risk and Network Dynamics, Springer : Berlin, p. 19-37. http://dx.doi.org/10.1007/978-88-470-2553-0_2
Book titleEconophysics of Systemic Risk and Network Dynamics
Book authorAbergel, Frédéric; Chakraborti, Bikas K.; Chakraborti, Anirban; Ghosh, Asim
Number of pages298
MetadataShow full item record
Abstract (EN)This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals, financial assets, agricultural products) are considered, on a twelve-year period. In such a high dimensional analysis, the graph theory enables us to understand the dynamic behavior of our price system. The dimension of the fully connected graph being high, we rely on a specific type of graphs: Minimum Spanning Trees (MSTs). Such a tree is especially interesting for the study of systemic risk: it can be assimilated into the shortest and most probable path for the propagation of a price shock. We first examine the topology of the MSTs. Then, given the time dependency of our correlation-based graphs, we study their evolution over time and their stability.
Subjects / KeywordsCommodity markets; derivative markets; systemic risks; graph theory
JELD81 - Criteria for Decision-Making under Risk and Uncertainty
G13 - Contingent Pricing; Futures Pricing
G14 - Information and Market Efficiency; Event Studies; Insider Trading
L61 - Metals and Metal Products; Cement; Glass; Ceramics
Q13 - Agricultural Markets and Marketing; Cooperatives; Agribusiness
Q40 - General
Showing items related by title and author.