This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the Brazilian financial system and include all active financial intermediaries. We show that the contagion chain has a short propagation path. We find that first-round contagion is...

Non-extensive thermodynamics is one of the most intriguing physics new frontiers. A large number of researchers have been successfully finding connections between the new concepts introduced by this new field and other complex systems already presented. In particular, Borland [Phys. Rev. E 57...

In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that...

This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the...

Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that...

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to...

The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Distinguishing noise from chaos, Phys. Rev....

This article proposes a new procedure to evaluate Asia Pacific stock market interconnections using a dynamic setting. Dynamic spanning trees (DST) are constructed using an ARMA–FIEGARCH–cDCC process. The main results show that: 1. the DST significantly shrinks over time; 2. Hong Kong is found...

Comprehensive and thorough supervision of all banking institutions under a Central Bank’s regulatory control has become necessary as recent banking crises show. Promptly identifying bank distress and contagion issues is of great importance to the regulators. This paper proposes a methodology...

In this study we analyze Brazilian stock prices to detect the development of bubbles and crashes in individual stocks using a log-periodic equation. We implement a genetic algorithm to calibrate the parameters of the model and we test the methodology for the most liquid stocks traded on the...