A Look at Financial Dependencies by Means of Econophysics and Financial Economics

This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially correlational studies, which in our opinion are beneficial for researchers in both fields. In econophysics, these dependencies can be modeled to describe financial markets as evolving complex networks. In particular we show that a useful way to describe dependencies is by means of information filtering networks that are able to retrieve relevant and meaningful information in complex financial data sets. In financial economics these dependencies can describe asset comovement and spill-overs. In particular, several models are presented that show how network and factor model approaches are related to modeling of multivariate volatility and asset returns respectively. Finally, we sketch out how these studies can inspire future research and how they contribute to support researchers in both fields to find a better and a stronger common language

Advances in the Agent-based Modeling of Economic and Social Behavior

In this review we discuss advances in the agent-based modeling of economic and social systems. We show the state of the art of the heuristic design of agents and how behavioral economics and laboratory experiments have improved the modeling of agent behavior. We further discuss how economic networks and social systems can be modeled and we discuss novel methodology and data sources. Lastly, we present an overview of estimation techniques to calibrate and validate agent-based models and show avenues for future research

Reduction of systemic risk by means of Pigouvian taxation

We analyze the possibility of reduction of systemic risk in financial markets through Pigouvian taxation of financial institutions, which is used to support the rescue fund. We introduce the concept of the cascade risk with a clear operational definition as a subclass and a network related measure of the systemic risk. Using financial networks constructed from real Italian money market data and using realistic parameters, we show that the cascade risk can be substantially reduced by a small rate of taxation and by means of a simple strategy of the money transfer from the rescue fund to interbanking market subjects. Furthermore, we show that while negative effects on the return on investment (ROI) are direct and certain, an overall positive effect on risk adjusted return on investments (ROIRA) is visible. Please note that the taxation is introduced as a monetary/regulatory, not as a _scal measure, as the term could suggest. The rescue fund is implemented in a form of a common reserve fund

Evolvement of Uniformity and Volatility in the Stressed Global Financial Village

Background: In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep throughout the entire village. Methodology/Principal Findings: We present a new methodology to assess and quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations.) We investigated the relations between six important world markets—U.S., U.K., Germany, Japan, China and India—from January 2000 until December 2010. We found that while the developed ‘‘western’’ markets (U.S., U.K., Germany) are highly correlated, the interdependencies between these markets and the developing ‘‘eastern’’ markets (India and China) are volatile and with noticeable maxima at times of global world events. The Japanese market switches ‘‘identity’’—it switches between periods of high meta-correlations with the ‘‘western’’ markets and periods when it behaves more similarly to the ‘‘eastern’’ markets. Conclusions/Significance: The methodological framework presented here provides a way to quantify the evolvement of interdependencies in the global market, evaluate a world financial network and quantify changes in the world inter market relations. Such changes can be used as precursors to the agitation of the global financial village. Hence, the new approach can help to develop a sensitive ‘‘financial seismograph’’ to detect early signs of global financial crises so they can be treated before they develop into worldwide event

The mechanism of functional up-regulation of P2X3 receptors of trigeminal sensory neurons in a genetic mouse model of Familial Hemiplegic Migraine type 1 (FHM-1)

A knock-in (KI) mouse model of FHM-1 expressing the R192Q missense mutation of the Cacna1a gene coding for the \u3b11 subunit of CaV2.1 channels shows, at the level of the trigeminal ganglion, selective functional up-regulation of ATP -gated P2X3 receptors of sensory neurons that convey nociceptive signals to the brainstem. Why P2X3 receptors are constitutively more responsive, however, remains unclear as their membrane expression and TRPV1 nociceptor activity are the same as in wildtype (WT) neurons. Using primary cultures of WT or KI trigeminal ganglia, we investigated whether soluble compounds that may contribute to initiating (or maintaining) migraine attacks, such as TNF\u3b1, CGRP, and BDNF, might be responsible for increasing P2X3 receptor responses. Exogenous application of TNF\u3b1 potentiated P2X3 receptor-mediated currents of WT but not of KI neurons, most of which expressed both the P2X3 receptor and the TNF\u3b1 receptor TNFR2. However, sustained TNF\u3b1 neutralization failed to change WT or KI P2X3 receptor currents. This suggests that endogenous TNF\u3b1 does not regulate P2X3 receptor responses. Nonetheless, on cultures made from both genotypes, exogenous TNF\u3b1 enhanced TRPV1 receptor-mediated currents expressed by a few neurons, suggesting transient amplification of TRPV1 nociceptor responses. CGRP increased P2X3 receptor currents only in WT cultures, although prolonged CGRP receptor antagonism or BDNF neutralization reduced KI currents to WT levels. Our data suggest that, in KI trigeminal ganglion cultures, constitutive up-regulation of P2X3 receptors probably is already maximal and is apparently contributed by basal CGRP and BDNF levels, thereby rendering these neurons more responsive to extracellular ATP. \ua9 2013 Hullugundi et al

Large-Scale Mass Spectrometry Imaging Investigation of Consequences of Cortical Spreading Depression in a Transgenic Mouse Model of Migraine

Cortical spreading depression (CSD) is the electrophysiological correlate of migraine aura. Transgenic mice carrying the R192Q missense mutation in the Cacna1a gene, which in patients causes familial hemiplegic migraine type 1 (FHM1), exhibit increased propensity to CSD. Herein, mass spectrometry imaging (MSI) was applied for the first time to an animal cohort of transgenic and wild type mice to study the biomolecular changes following CSD in the brain. Ninety-six coronal brain sections from 32 mice were analyzed by MALDI-MSI. All MSI datasets were registered to the Allen Brain Atlas reference atlas of the mouse brain so that the molecular signatures of distinct brain regions could be compared. A number of metabolites and peptides showed substantial changes in the brain associated with CSD. Among those, different mass spectral features showed significant (t-test, P < 0.05) changes in the cortex, 146 and 377 Da, and in the thalamus, 1820 and 1834 Da, of the CSD-affected hemisphere of FHM1 R192Q mice. Our findings reveal CSD- and genotype-specific molecular changes in the brain of FHM1 transgenic mice that may further our understanding about the role of CSD in migraine pathophysiology. The results also demonstrate the utility of aligning MSI datasets to a common reference atlas for large-scale MSI investigations. [Figure: see text] ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s13361-015-1136-8) contains supplementary material, which is available to authorized users