Disentangling bipartite and core-periphery structure in financial networks

DOI10.1016/J.CHAOS.2016.02.004zbMATH Open1415.91330arXiv1511.08830OpenAlexW2182321984MaRDI QIDQ508321FDOQ508321

Authors: Paolo Barucca, Fabrizio Lillo 

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Abstract: A growing number of systems are represented as networks whose architecture conveys significant information and determines many of their properties. Examples of network architecture include modular, bipartite, and core-periphery structures. However inferring the network structure is a non trivial task and can depend sometimes on the chosen null model. Here we propose a method for classifying network structures and ranking its nodes in a statistically well-grounded fashion. The method is based on the use of Belief Propagation for learning through Entropy Maximization on both the Stochastic Block Model (SBM) and the degree-corrected Stochastic Block Model (dcSBM). As a specific application we show how the combined use of the two ensembles -SBM and dcSBM- allows to disentangle the bipartite and the core-periphery structure in the case of the e-MID interbank network. Specifically we find that, taking into account the degree, this interbank network is better described by a bipartite structure, while using the SBM the core-periphery structure emerges only when data are aggregated for more than a week.

Full work available at URL: https://arxiv.org/abs/1511.08830

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zbMATH Keywords

statistical inferencecomplex networksinterbank marketsbelief propagation

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)

Cites Work

• Statistical mechanics of complex networks
• Spectral redemption in clustering sparse networks
• The Structure and Function of Complex Networks
• Exploring complex networks
• The average distances in random graphs with given expected degrees
• Network topology of the interbank market
• A network analysis of the Italian overnight money market
• Networked relationships in the e-MID interbank market: a trading model with memory
• Centrality metrics and localization in core-periphery networks
• The multiplex structure of interbank networks
• Core-Periphery Structure in Networks

Cited In (8)

• The impacts of interest rates on banks' loan portfolio risk-taking
• Reconstruction methods for networks: the case of economic and financial systems
• Core–periphery structure in directed networks
• Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
• Relationships between Perron-Frobenius eigenvalue and measurements of loops in networks
• Spectral density of equitable core-periphery graphs
• Complexity in quantitative finance and economics
• Safe marginal time of crude oil price via escape problem of econophysics

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