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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Sub. to Nature PhysicsThe physics of financial networks
Complex network theory unlocks systematic understanding of financial stability and climate finance in pursuit of a more sustainable society.
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MBFCMDGVGCSB Mathematical FinanceNetwork valuation in financial systems
Consistent valuation of interbank claims within an interconnected financial system can be found with a recursive update of banks' equities.
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.
TSGC
GC Physical Review EEnhanced capital-asset pricing model for bipartite financial networks reconstruction
The challenge of statistical reconstruction is using the limited available information to predict stock holdings.
Pathways towards instability
Processes believed to stabilize financial markets can drive them towards instability by creating cyclical structures that amplify distress.
Immunisation of systemic risk
Targeted immunisation policies limit distress propagation and prevent system-wide crises in financial networks according to sandpile models.
The price of complexity
Increasing the complexity of the network of contracts between financial institutions decreases the accuracy of estimating systemic risk.
DebtRank and shock propagation
A dynamical microscopic theory of instability for financial networks reformulates the DebtRank algorithm in terms of basic accounting principles.
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.
Credit default swaps networks and systemic risk
CDS spreads over time for the selected institutions
Interbank controllability
Complex networks detect the driver institutions of an interbank market and ascertain that intervention policies should be time-scale dependent.
Web search queries can predict stock market volumes
Graphical illustration of the analysis presented in this paper.