Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets

DOI10.1016/J.CNSNS.2024.108046MaRDI QIDQ6551765zbMATH OpenFDO

Authors A. N. M. Salman, K. I. A. Syuhada

Publication date 7 June 2024

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CNSNS.2024.108046

zbMATH Keywords

financial networkgeneralized clustering coefficientnetwork parametersystemic risk measure

Mathematics Subject Classification ID

Applications of graph theory (05C90) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A clustering coefficient for weighted networks, with application to gene expression data
• A General Framework for Weighted Gene Co-Expression Network Analysis
• A Time-Varying Network for Cryptocurrencies
• An optimization model for minimizing systemic risk
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• Comparison of different generalizations of clustering coefficient and local efficiency for weighted undirected graphs
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• Cryptocurrency price analysis with ordinal partition networks
• Digraphs
• Extreme risk spillover network: application to financial institutions
• Financial Network Systemic Risk Contributions
• Graph theory
• Higher order clustering coefficients in Barabási-Albert networks
• Network tail risk estimation in the European banking system
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Risk quantification and validation for Bitcoin
• Risk spillover network structure learning for correlated financial assets: a directed acyclic graph approach
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Statistical analysis of weighted networks
• Systemic risk assessment through high order clustering coefficient
• TENET: tail-event driven network risk
• The evolution of the cryptocurrencies market: a complex networks approach

Cited in

(1)

• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application

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