Výsledky vyhledávání - "Van Lelyveld, Iman"

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Crowded trades, market clustering, and price instability

Autor: van Kralingen, Marc, Garlaschelli, Diego, Scholtus, Karolina, van Lelyveld, Iman

Publikováno v: Entropy 23(3), 336 (2021)

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of tradin

Externí odkaz: http://arxiv.org/abs/2002.03319

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Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks

Autor: Squartini, Tiziano, Almog, Assaf, Caldarelli, Guido, van Lelyveld, Iman, Garlaschelli, Diego, Cimini, Giulio

Publikováno v: Phys. Rev. E 96, 032315 (2017)

Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification o

Externí odkaz: http://arxiv.org/abs/1606.07684

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Akademický článek

Outlier Detection with Reinforcement Learning for Costly to Verify Data.

Autor: Nijhuis, Michiel¹ (AUTHOR) m.nijhuis@dnb.nl, van Lelyveld, Iman^1,2 (AUTHOR)

Publikováno v: Entropy. Jun2023, Vol. 25 Issue 6, p842. 17p.

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Early-warning signals of topological collapse in interbank networks

Autor: Squartini, Tiziano, van Lelyveld, Iman, Garlaschelli, Diego

Publikováno v: Sci. Rep. 3 (3357) (2013)

The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and topological c

Externí odkaz: http://arxiv.org/abs/1302.2063

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