This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...

This paper proposes an alternative graphical modeling to visualize the interconnectivity of the world economy through the uses of the world GDP-Kite. Hence, the GDP-Kite can help to observe how different economies are interconnected and became more vulnerable in case to appear any global trade...

Objectives: We study partial unlock or reopening interaction with seasonal effects in a managed epidemic to quantify overshoot effects on small and large unlock steps and discover robust strategies for reducing overshoot. Methods: We simulate partial unlock of social distancing for epidemics...

This paper studies the resilience of public policies that governments design for catalyzing economic development. This property depends on the extent to which behavioral heuristics and spillover effects allow policymakers to attain their original goals when a particular policy cannot be funded...

During 2017, a few fortunate investors have made a lot of money very quickly on their investment in crypto-currencies, an asset class that did not exist just eight short years ago. But as with other rapidly evolving assets, that often seem too good to be true, the potential soaring profits of...

We demonstrate how a machine learning algorithm can be applied to predict and explain modern market microstructure phenomena. We investigate the efficacy of various microstructure measures and show that they continue to provide insights into price dynamics in current complex markets. Some...

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting...

Abstract. A system that allows you to easily regulate the cryptocurrency market and influence it thanks to the classification given by their scalability. The opportunity to be included in a different table will push programmers to adapt to the legislation. It will no longer be the right to have...

This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main...

This paper studies how the structure of the International Trade Network (ITN) changes in geographical space and along time. We employ geographical distance between countries in the world to filter the links in the ITN, building a sequence of sub-networks, each one featuring trade links occurring...