Complexity Meets Finance: Data, Methods and Policy Implications

New challenges facing today's financial and regulatory institutions requires multidisciplinary problem-solving that leverages methodologies from both complex network analysis and data science. Quantitative analysis has equipped financial companies to make smarter decisions and to more accurately predict future returns on their investments; however, innovative methodologies are required to tackle complex finance problems such as systematic risks, the impact of financial contagions, evaluating the resilience of these systems and predicting, quantifying and controlling the inter-related or second-order effects during a crisis. Networks constitute a formidable tool for the analysis of these kinds of issues. Economic and financial systems are examples of networked systems, being characterized by the interaction of many heterogeneous units (the ​nodes​), through more or less complex interconnection patterns (the links​): examples are provided by networks of banks, stocks, companies, countries, industries, products.

This satellite aims at bridging the gap between the fields of complex networks theory and finance by bringing together experienced researchers and young scholars interested in interdisciplinary research to discuss state-of-the-art work, share knowledge and create opportunities for novel and fruitful collaborations. Further, we intend to bring cutting-edge academic research in contact with industry experience and impact. From a purely methodological perspective, instead, the approach pursued by applying the tools rooted into theoretical physics seems to represent the most promising avenue to gain insight into the behavior of economic and financial systems: for this reason, this satellite seeks abstracts employing methods developed into statistical mechanics, information theory and, more in general, complex systems.

Call for Abstracts

Submit abstracts for contributed talks on topics such as:

Empirics of economic and financial systems

• Big data in economics and finance;

• Network representation of economic and financial systems (e.g. credit networks, asset

• ownership networks, price correlation networks, transaction or monetary networks, production networks, trade networks).

Methods and tools for the study of economic and financial systems

• Statistical and probabilistic methods in economics and finance (information theory, random matrix theory, etc.).

Structural and dynamical analysis of economic and financial systems

• Agent-based models of economic and financial systems;

• Economic and financial time-series analysis;

• Market dynamics;

• Early-warning signals detection;

• Reconstruction of financial and economic networks;

• Systemic risk analysis and policy implications.

Other topics

• Interdependencies between economic and financial networks across different scales;

• News- and sentiment-driven dynamics of economic and financial systems;

• Economic Complexity.

Submission

Abstracts should be submitted via EasyChair by 5 August, 2020.

Submitted abstracts should be one page with ideally one figure.

Full conference website and registration: netsci2020.netscisociety.net

Invited Speakers

• Tomaso Aste​ (Professor, University College London)

• Stefano Battiston​ (Professor, University of Zurich)

• Monica Billio​ (Professor, University of Venice “Ca’ Foscari”)

• Fabio Caccioli​ (Professor, University College London)

• Daniel Fricke​ (Senior Economist, Deutsche Bundesbank)

• Teruyoshi Kobayashi​ (Professor, Kobe University)

• Irena Vodenska​ (Professor, University of Boston)

Program

• 13.00 - Two types of densification scaling in social and financial networks, Teruyoshi Kobayashi, Professor at Kobe University

• 13.45 - Money walks: rethinking the velocity of money for cryptocurrency systems, Carlo Campajola, Scuola Normale Superiore di Pisa ( carlo.campajola@sns.it)

• 14.00 - TBA, Stefano Battiston, Professor at University of Zurich

• 14.45 - Connected (and Vulnerable) Funds , Daniel Fricke, Senior Economist at Deutsche Bundesbank

• 15.30 - Break

• 15.45 - Production networks and epidemic spreading: How to restart the UK economy?, Marco Pangallo, Scuola Sant'Anna di Pisa ( marco.pangallo@santannapisa.it)

• 16.00 - Modeling Fire Sale Contagion Across Banks and Non-Banks, Amanah Ramadiah, University College London ( amanahramadiah@gmail.com)

• 16.15 - From Tulips to Raging Bulls: Crises are Viral, Irena Vodenska, Professor at University of Boston

• 17.00 - Backtesting macroprudential stress tests, Fabio Caccioli, Professor at University College London

• 17.45 - Break

• 18.00 - Bayesian Dynamic Tensor Regression for multilayer economic and financial networks, Roberto Casarin, Professor at University of Venice “Ca’ Foscari”

• 18.45 - An analysis of network filtering methods to sovereign bond yields during COVID-19, Oscar Mauricio Granados Erazo, Universidad de Bogotà Jorge Mateo Lozano ( oscarm.granadose@utadeo.edu.co)

• 19.00 - Data-driven modelling of socioeconomic systems with networks , Tomaso Aste, Professor at University College London

Additional Info

This workshop is presented as a collaboration between two workshop series:

• Statistical Physics for Financial & Economic Networks (@FinEcoNets)

• Complex Networks and Machine Learning in Finance

Organizers

Azadeh Nematzadeh — S&P Global Ratings

Tiziano Squartini — IMT Lucca

Clayton Davis — S&P Global Ratings

Fabio Saracco — IMT Lucca

Jingjing Feng — S&P Global Ratings

Naoki Masuda — SUNY Buffalo

Paulo Barucca — University College London

Contact

azadeh dot nematzadeh at spglobal dot com

Acknowledgements

We wish to thank the operating office of S&P Global Ratings for the generous support to make this workshop possible.