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在金融时间网络中建模冲击传播和弹性
Fabrizio Lillo1,2, Giorgio Rizzini2
1Dipartimento di Matematica, Università degli Studi di Bologna, Piazza di Porta San Donato 5, 40126 Bologna, Italy.
Chaos (Woodbury, N.Y.)
|January 15, 2025
概括
这项研究模拟了网络冲击,重点关注节点影响,而不是链路中断. 它引入了一种新方法来分析网络指标如何应对这些节点冲击,这对于理解金融系统风险至关重要.
科学领域:
- 网络科学 网络科学
- 计量经济学 计量经济学
- 金融建模金融建模
背景情况:
- 在时间网络中模拟冲击传播对于理解系统性风险至关重要.
- 现有的研究往往忽视了以节点为中心的冲击,而是专注于链路中断.
- 节点连接和稳定性经常受到现实世界的冲击的影响.
研究的目的:
- 开发一个新的框架来分析节点冲击对网络指标的影响.
- 为了分析计算节点启动的干扰的冲动响应函数 (IRF).
- 将这种方法应用于真实世界的金融网络数据.
主要方法:
- 使用基于配置模型构建的矢量自回归 (VAR) 框架.
- 开发了一个非线性VAR模型,其中IRF取决于网络状态和冲击大小.
- 组合最大概率估计和卡尔曼过用于参数动态和IRF计算.
主要成果:
- 成功计算了时间网络中节点冲击的冲动响应函数 (IRF).
- 证明了冲击大小和网络度量响应之间的非线性关系.
- 证明IRF是依赖于状态的,根据网络在冲击时的状况而变化.
结论:
- 拟议的VAR框架为分析时间网络中以节点为中心的冲击提供了一个强大的工具.
- 这种新的计量经济学方法提供了对隐性参数动态和IRFs的准确估计.
- 对银行间存款市场的应用凸显了该模型在评估金融系统风险方面的实用性.
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