Dynamic modeling of systemic risk in financial networks

Modern financial networks are complicated structures that can contain multiple types of nodes and connections between those nodes. Banks, governments and even individual people weave into an intricate network of debt, risk correlations and many other forms of interconnectedness. We explore multiple types of financial network models with a focus on understanding the dynamics and causes of cascading failures in such systems. In particular, we apply real-world data from multiple sources to these models to better understand real-world financial networks. We use the results of the Federal Reserve "Banking Organization Systemic Risk Report" (FR Y-15), which surveys the largest US banks on their level of interconnectedness, to find relationships between various measures of network connectivity and systemic risk in the US financial sector. This network model is then stress-tested under a number of scenarios to determine systemic risks inherent in the various network structures. We also use detailed historical balance sheet data from the Venezuelan banking system to build a bipartite network model and find relationships between the changing network structure over time and the response of the system to various shocks. We find that the relationship between interconnectedness and systemic risk is highly dependent on the system and model but that it is always a significant one. These models are useful tools that add value to regulators in creating new measurements of systemic risk in financial networks. These models could be used as macroprudential tools for monitoring the health of the entire banking system as a whole rather than only of individual banks

Quantifying Wikipedia usage patterns before stock market moves

Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before trading decisions were taken. We present evidence in line with the intriguing suggestion that data on changes in how often financially related Wikipedia pages were viewed may have contained early signs of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of decision making

Lattice study of ChPT beyond QCD

We describe initial results by the Lattice Strong Dynamics (LSD) collaboration of a study into the variation of chiral properties of chiral properties of SU(3) Yang-Mills gauge theory as the number of massless flavors changes from $N_f = 2$ to $N_f = 6$, with a focus on the use of chiral perturbation theory.Comment: 9 pages, 3 figures. Presented at the 6th International Workshop on Chiral Dynamics, University of Bern, Switzerland, July 6-10 200

Toward TeV Conformality

We study the chiral condensate $$ for an SU(3) gauge theory with $N_f$ massless Dirac fermions in the fundamental representation when $N_f$ is increased from 2 to 6. For $N_f=2$, our lattice simulations of $<\bar{\psi} \psi >/F^3$, where $F$ is the Nambu-Goldstone-boson decay constant, agree with the measured QCD value. For $N_f = 6$, this ratio shows significant enhancement, presaging an even larger enhancement anticipated as $N_f$ increases further, toward the critical value for transition from confinement to infrared conformality.Comment: 4 pages, 4 figures. v2: revised version for PR

Observation of beam spin asymmetries in the process ep→e^{'}π^{+}π^{-}X with CLAS12

The observation of beam spin asymmetries in two-pion production in semi-inclusive deep inelastic scattering off an unpolarized proton target is reported. The data presented here were taken in the fall of 2018 with the CLAS12 spectrometer using a 10.6 GeV longitudinally spin-polarized electron beam delivered by CEBAF at JLab. The measured asymmetries provide the first opportunity to extract the parton distribution function e(x), which provides information about the interaction between gluons and quarks, in a collinear framework that offers cleaner access than previous measurements. The asymmetries also constitute the first ever signal sensitive to the helicity-dependent two-pion fragmentation function G_{1}^{⊥}. A clear sign change is observed around the ρ mass that appears in model calculations and is indicative of the dependence of the produced pions on the helicity of the fragmenting quark