Describing financial crisis propagation through epidemic modelling on multiplex networks

IF 2.9 3区 综合性期刊 Q1 MULTIDISCIPLINARY SCIENCES
Malvina Bozhidarova, Frank Ball, Yves van Gennip, Reuben D. O’Dea, Gilles Stupfler
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Abstract

This paper proposes a novel framework for modelling the spread of financial crises in complex networks, combining financial data, Extreme Value Theory and an epidemiological transmission model. We accommodate two key aspects of contagion modelling: fundamentals-based contagion, where the transmission is due to direct financial linkages, and pure contagion, where a crisis might trigger additional crises due to global effects. We use stock price, geographical location and economic sector data for a set of 398 companies to construct multiplex networks of four layers, on which a susceptible-infected-recovered transmission model is defined, in order to model the spread of financial shocks between companies by accounting for their interconnected nature. By utilizing stock price data for the 2008 and 2020 financial crises, we investigate and assess the effectiveness of our model in forecasting the propagation of financial shocks through the network, where a shock is detected by measuring stock price volatility. The results suggest that the proposed framework is effective in predicting the spread of financial crises. Our findings demonstrate the significance of each layer of the multiplex network structure, which differentiates between various transmission pathways, for predicting the number of affected companies, as well as for company-, sector- or location-specific predictions.

通过多路网络上的流行病建模来描述金融危机的传播
本文结合金融数据、极值理论和流行病学传播模型,提出了一个新颖的框架,用于模拟金融危机在复杂网络中的蔓延。我们将传染建模的两个关键方面结合起来:基于基本面的传染,即传染是由于直接的金融联系造成的;纯粹的传染,即一场危机可能会由于全球效应引发其他危机。我们利用一组 398 家公司的股价、地理位置和经济部门数据构建了四层多路网络,并在此基础上定义了易感-感染-恢复传播模型,以便通过考虑公司之间的相互关联性来模拟金融冲击在公司之间的传播。通过利用 2008 年和 2020 年金融危机的股票价格数据,我们研究并评估了我们的模型在预测金融冲击通过网络传播方面的有效性。结果表明,所提出的框架能有效预测金融危机的传播。我们的研究结果表明,多路复用网络结构的每一层(区分各种传播途径)对于预测受影响公司的数量以及针对公司、行业或地点的预测都具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.40
自引率
5.70%
发文量
227
审稿时长
3.0 months
期刊介绍: Proceedings A has an illustrious history of publishing pioneering and influential research articles across the entire range of the physical and mathematical sciences. These have included Maxwell"s electromagnetic theory, the Braggs" first account of X-ray crystallography, Dirac"s relativistic theory of the electron, and Watson and Crick"s detailed description of the structure of DNA.
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