Our papers are the official record of our discoveries. They allow others to build on and apply our work. Each paper is the result of many months of research, so we make a special effort to make them clear, beautiful and inspirational, and publish them in leading journals.
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Network theory
MB
PB
SBFCGC... Nature Reviews PhysicsPhysics of financial networks
Statistical physics contributes to new models and metrics for the study of financial network structure, dynamics, stability and instability.
Financial markets
PB
MBFCMDGV... Mathematical FinanceNetwork valuation in finance
Consistent valuation of interbank claims within an interconnected financial system can be found with a recursive update of banks' equities.
Financial networks
MSGC
TSFS Journal of Statistical PhysicsFrom ecology to finance
Bipartite networks model the structures of ecological and economic real-world systems, enabling hypothesis testing and crisis forecasting.
Financial markets
TSGC
GC Physical Review EFinancial network reconstruction
Statistical mechanics concepts reconstruct connections between financial institutions and the stock market, despite limited data disclosure.
Financial risk
Pathways towards instability
Processes believed to stabilize financial markets can drive them towards instability by creating cyclical structures that amplify distress.
Financial risk
Immunisation of systemic risk
Targeted immunisation policies limit distress propagation and prevent system-wide crises in financial networks according to sandpile models.
Financial risk
The price of complexity
Increasing the complexity of the network of contracts between financial institutions decreases the accuracy of estimating systemic risk.
Financial risk
DebtRank and shock propagation
A dynamical microscopic theory of instability for financial networks reformulates the DebtRank algorithm in terms of basic accounting principles.
Financial risk, Network theory
Fragility of the interbank network
The speed of a financial crisis outbreak sets the maximum delay before intervention by central authorities is no longer effective.
Financial risk
Networks of credit default swaps
Time series data from networks of credit default swaps display no early warnings of financial crises without additional macroeconomic indicators.
Financial networks
Interbank controllability
Complex networks detect the driver institutions of an interbank market and ascertain that intervention policies should be time-scale dependent.
Financial markets
Search queries predict stocks
Analysis of web search queries about a given stock, from the seemingly uncoordinated activity of many users, can anticipate the trading peak.