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
Type
Chapitre d'ouvrageDate
2013Book title
Econophysics of Systemic Risk and Network DynamicsBook author
Abergel, Frédéric; Chakraborti, Bikas K.; Chakraborti, Anirban; Ghosh, AsimPublisher
Springer
Published in
Berlin
ISBN
978-88-470-2552-3
Number of pages
298Pages
19-37
Publication identifier
Metadata
Show full item recordAbstract (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 / Keywords
Commodity markets; derivative markets; systemic risks; graph theoryJEL
D81 - Criteria for Decision-Making under Risk and UncertaintyG13 - 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
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