41,709 research outputs found
Leveraging Contact Network Information in Clustered Randomized Studies of Contagion Processes
In a randomized study, leveraging covariates related to the outcome (e.g.
disease status) may produce less variable estimates of the effect of exposure.
For contagion processes operating on a contact network, transmission can only
occur through ties that connect affected and unaffected individuals; the
outcome of such a process is known to depend intimately on the structure of the
network. In this paper, we investigate the use of contact network features as
efficiency covariates in exposure effect estimation. Using augmented
generalized estimating equations (GEE), we estimate how gains in efficiency
depend on the network structure and spread of the contagious agent or behavior.
We apply this approach to simulated randomized trials using a stochastic
compartmental contagion model on a collection of model-based contact networks
and compare the bias, power, and variance of the estimated exposure effects
using an assortment of network covariate adjustment strategies. We also
demonstrate the use of network-augmented GEEs on a clustered randomized trial
evaluating the effects of wastewater monitoring on COVID-19 cases in
residential buildings at the the University of California San Diego.Comment: Substantial revisio
Thought and Behavior Contagion in Capital Markets
Prevailing models of capital markets capture a limited form of social influence and information transmission, in which the beliefs and behavior of an investor affects others only through market price, information transmission and processing is simple (without thoughts and feelings), and there is no localization in the influence of an investor on others. In reality, individuals often process verbal arguments obtained in conversation or from media presentations, and observe the behavior of others. We review here evidence concerning how these activities cause beliefs and behaviors to spread, affect financial decisions, and affect market prices; and theoretical models of social influence and its effects on capital markets. Social influence is central to how information and investor sentiment are transmitted, so thought and behavior contagion should be incorporated into the theory of capital markets.capital markets; thought contagion; behavioral contagion; herd behavior; information cascades; social learning; investor psychology; accounting regulation; disclosure policy; behavioral finance; market efficiency; popular models; memes
Points of view regarding the effects of the domination of foreign currency in the Romanian Banking System
More than any activity, in the banking field the phenomenon of globalization is starting to feel its presence stronger and stronger. Today, the Romanian banking system is dominated by the foreign currency that facilitated the access to external financing, led to the increase of efficiency in managing the risk with positive involvement on the steadiness of the banking system. Starting with this practical state, the paper presents a few viewpoints on the effect of foreign currency in the Romanian banking system.foreign capital, globalization, efficiency, contagion risk
Interoperability between central counterparties
In reaction to recent requests for interoperability between central counterparties of European stock markets, regulators have issued new guidelines to contain systemic risk. Our analysis confirms that the currently applied cross-CCP risk management model can be a source of contagion, particularly if applied in multilateral frameworks. While regulators' new guidelines eliminate systemic risk, this comes at the cost of an inefficiently overcollateralised clearing system. We discuss further approaches that contain systemic risk while reducing or eliminating overcollateralisation. Interoperability is of economic importance as it may contribute to the efficiency and safety of a worldwide fragmented clearing infrastructure.interoperability between central counterparties, financial network, systemic risk, netting efficiency
Epidemics of Liquidity Shortages in Interbank Markets
Financial contagion from liquidity shocks has being recently ascribed as a
prominent driver of systemic risk in interbank lending markets. Building on
standard compartment models used in epidemics, in this work we develop an EDB
(Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks
reverberation between banks, and validate it on electronic market for interbank
deposits data. We show that the interbank network was highly susceptible to
liquidity contagion at the beginning of the 2007/2008 global financial crisis,
and that the subsequent micro-prudential and liquidity hoarding policies
adopted by banks increased the network resilience to systemic risk---yet with
the undesired side effect of drying out liquidity from the market. We finally
show that the individual riskiness of a bank is better captured by its network
centrality than by its participation to the market, along with the currently
debated concept of "too interconnected to fail"
What Makes a Good Plan? An Efficient Planning Approach to Control Diffusion Processes in Networks
In this paper, we analyze the quality of a large class of simple dynamic
resource allocation (DRA) strategies which we name priority planning. Their aim
is to control an undesired diffusion process by distributing resources to the
contagious nodes of the network according to a predefined priority-order. In
our analysis, we reduce the DRA problem to the linear arrangement of the nodes
of the network. Under this perspective, we shed light on the role of a
fundamental characteristic of this arrangement, the maximum cutwidth, for
assessing the quality of any priority planning strategy. Our theoretical
analysis validates the role of the maximum cutwidth by deriving bounds for the
extinction time of the diffusion process. Finally, using the results of our
analysis, we propose a novel and efficient DRA strategy, called Maximum
Cutwidth Minimization, that outperforms other competing strategies in our
simulations.Comment: 18 pages, 3 figure
Contagion and firms'internationalization in Latin America : evidence from Mexico, Brazil, and Chile
The author investigates whether contagion matters when emerging market firms cross-list their stocks in a developed capital market. She develops a rational expectations model where financial markets are segmented along emerging markets'borders and contagion spreads from one emerging market to another through the actions of international investors rebalancing their portfolio using stocks cross-listed in the developed market. The author finds that contagion is a cost of internationalization as cross-listed stocks are more affected by contagion than pure domestic stocks. Furthermore, a welfare analysis of international cross-listing versus financial autarky suggests that the benefits of internationalization in terms of less information asymmetry and better market efficiency offset the costs of contagion. Her model is able to explain some transmission of the 1998 Brazilian crisis to Mexico and Chile.Markets and Market Access,Investment and Investment Climate,Access to Markets,Financial Intermediation,Economic Theory&Research
- âŠ