Disentangling bipartite and core-periphery structure in financial networks

DOI10.1016/J.CHAOS.2016.02.004MaRDI QIDQ508321zbMATH OpenOpenAlexFDO

Authors Paolo Barucca, Fabrizio Lillo

Publication date 10 February 2017

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

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

zbMATH Keywords

statistical inferencecomplex networksinterbank marketsbelief propagation

Mathematics Subject Classification ID

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

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.

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Cites work

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Cited in

(10)

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

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