structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding …

financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of … the supply network determine both whether aggregate volatility disappears as the number of sectors increases (i … aggregate output from its mean) to sector-specific volatility and to the structural properties of the supply network …