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87 results on '"Vodenska, Irena"'

54. Interdependencies and causalities in coupled financial networks

Author

Vodenska, Irena, Aoyama, Hideaki, Fujiwara, Yoshi, Iyetomi, Hiroshi, Arai, Yuta, Vodenska, Irena, Aoyama, Hideaki, Fujiwara, Yoshi, Iyetomi, Hiroshi, and Arai, Yuta

Abstract

We explore the foreign exchange and stock market networks for 48 countries from 1999 to 2012 and propose a model, based on complex Hilbert principal component analysis, for extracting significant lead-lag relationships between these markets. The global set of countries, including large and small countries in Europe, the Americas, Asia, and the Middle East, is contrasted with the limited scopes of targets, e.g., G5, G7 or the emerging Asian countries, adopted by previous works. We construct a coupled synchronization network, perform community analysis, and identify formation of four distinct network communities that are relatively stable over time. In addition to investigating the entire period, we divide the time period into into "mild crisis, " (1999-2002), "calm, " (2003-2006) and "severe crisis" (2007-2012) sub-periods and find that the severe crisis period behavior dominates the dynamics in the foreign exchange-equity synchronization network. We observe that in general the foreign exchange market has predictive power for the global stock market performances. In addition, the United States, German and Mexican markets have forecasting power for the performances of other global equity markets.

Published
2016

62. Systemic risk and structural changes in a bipartite bank network: a new perspective on the Japanese banking crisis of the 1990s.

Author

SAKAMOTO, YOHEI and VODENSKA, IRENA

Subjects
BANKING industry, BIPARTITE graphs, BANK loans
Abstract

The Japanese banking crisis in the late 1990s has been considered a significant turning point in the history of Japanese banking system. This period has attracted researcher's interest to study the increase of bad debt on Japanese banks' balance sheets leading to the crisis of the 1990s. Here, we investigate the risk propagating through a bipartite banking network consisting of two kinds of nodes: assets on one hand and banks on the other. Using a Cascading Failure Model (CFM) to describe the propagation of failures in the network, we attempt to understand the main culprit provoking the crisis and the systemic conditions that amplified or repressed the 'chain reaction' of bankruptcies. Based on simulations using the CFM, we find that the asset 'Loans on Bills' was not only the main culprit for the Japanese banking crisis of 1990s but also a critical separator for banks' survival. Furthermore, by using CFM, an abrupt change of the number of bankruptcies appears with just a small change of bank liquidity. This finding indicates a high level of fragility in the banking system, highlighting the importance to consider not only individual banks' asset portfolios but also the connections between banks to guard financial institutions against cascading failures. [ABSTRACT FROM AUTHOR]

Published
2017
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69. Identifying influential directors in the United States corporate governance network.

Author

Xuqing Huang, Vodenska, Irena, Fengzhong Wang, Havlin, Shlomo, and Stanleyl, H. Eugene

Subjects
*CORPORATE governance, *DATABASES, *INFORMATION sharing, *EXECUTIVES
Abstract

The influence of directors has been one of the most engaging topics recently, but surprisingly little research has been done to quantitatively evaluate the influence and power of directors. We analyze the structure of the US corporate governance network for the 11-year period 1996-2006 based on director data from the Investor Responsibility Research Center director database, and we develop a centrality measure named the influence factor to estimate the influence of directors quantitatively. The US corporate governance network is a network of directors with nodes representing directors and links between two directors representing their service on common company boards. We assume that information flows in the network through information-sharing processes among linked directors. The influence factor assigned to a director is based on the level of information that a director obtains from the entire network. We find that, contrary to commonly accepted belief that directors of large companies, measured by market capitalization, are the most powerful, in some instances, the directors who are influential do not necessarily serve on boards of large companies. By applying our influence factor method to identify the influential people contained in the lists created by popular magazines such as Fortune, Networking World, and Treasury and Risk Management, we find that the influence factor method is consistently either the best or one of the two best methods in identifying powerful people compared to other general centrality measures that are used to denote the significance of a node in complex network theory. [ABSTRACT FROM AUTHOR]

Published
2011
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70. Patterns of Linguistic Diffusion in Space and Time: The Case of Mazatec

Author

Léonard, Jean Léo, Heinsalu, Els, Patriarca, Marco, Sharma, Kiran, Chakraborti, Anirban, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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71. Topology of the International Trade Network: Disentangling Size, Asymmetry and Volatility

Author

Chakrabarti, Anindya S., Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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72. The Microscopic Origin of the Pareto Law and Other Power-Law Distributions

Author

Patriarca, Marco, Heinsalu, Els, Chakraborti, Anirban, Kaski, Kimmo, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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73. Social Physics: Understanding Human Sociality in Communication Networks

Author

Ghosh, Asim, Monsivais, Daniel, Bhattacharya, Kunal, Kaski, Kimmo, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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74. Methods for Reconstructing Interbank Networks from Limited Information: A Comparison

Author

Mazzarisi, Piero, Lillo, Fabrizio, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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75. Kinetic Exchange Models as D Dimensional Systems: A Comparison of Different Approaches

Author

Patriarca, Marco, Heinsalu, Els, Singh, Amrita, Chakraborti, Anirban, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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76. Kolkata Restaurant Problem: Some Further Research Directions

Author

Banerjee, Priyodorshi, Mitra, Manipushpak, Mukherjee, Conan, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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77. The Many-Agent Limit of the Extreme Introvert-Extrovert Model

Author

Dhar, Deepak, Bassler, Kevin E., Zia, R. K. P., Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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78. Information Asymmetry and the Performance of Agents Competing for Limited Resources

Author

Kushal, Appilineni, Sasidevan, V., Sinha, Sitabhra, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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79. Record Statistics of Equities and Market Indices

Author

Santhanam, M. S., Kumar, Aanjaneya, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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80. Power Law Distributions for Share Price and Financial Indicators: Analysis at the Regional Level

Author

Miyano, Michiko, Kaizoji, Taisei, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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81. Extreme Eigenvector Analysis of Global Financial Correlation Matrices

Author

Bhadola, Pradeep, Deo, Nivedita, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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82. Network Theory in Macroeconomics and Finance

Author

Chakrabarti, Anindya S., Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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83. Why Have Asset Price Properties Changed so Little in 200 Years

Author

Bouchaud, Jean-Philippe, Challet, Damien, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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84. Dynamic Portfolio Credit Risk and Large Deviations

Author

Juneja, Sandeep, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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85. Reaction-Diffusion Equations with Applications to Economic Systems

Author

Ganguly, Srinjoy, Neogi, Upasana, Chakrabarti, Anindya S., Chakraborti, Anirban, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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86. Option Pricing and Hedging with Liquidity Costs and Market Impact

Author

Abergel, F., Loeper, G., Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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87. Epilogue

Author

Raina, Dhruv, Chakraborti, Anirban, Gil-Aluja, Jaime, Editorial board, Arecchi, Fortunato Tito, Editorial board, Faggini, Marisa, Series editor, Colander, David C., Editorial board, Gallegati, Mauro, Series editor, Day, Richard H., Editorial board, Kirman, Alan P., Series editor, Keen, Steve, Editorial board, Lines, Marji, Editorial board, Lux, Thomas, Series editor, Medio, Alfredo, Editorial board, Ormerod, Paul, Editorial board, Rosser, J. Barkley, Editorial board, Solomon, Sorin, Editorial board, Terna, Pietro, Editorial board, Velupillai, K.Vela, Editorial board, Vriend, Nick, Editorial board, Zadeh, Lofti A., Editorial board, Abergel, Frédéric, editor, Aoyama, Hideaki, editor, Chakrabarti, Bikas K., editor, Chakraborti, Anirban, editor, Deo, Nivedita, editor, Raina, Dhruv, editor, and Vodenska, Irena, editor

Published
2017
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