Financial Networks: Examining Market Linkages using Network Approach

Logo poskytovatele
Kód projektu
Období řešení
1/2020 - 12/2022
Investor / Programový rámec / typ projektu
Grantová agentura ČR
Fakulta / Pracoviště MU
Ekonomicko-správní fakulta
Spolupracující organizace
Ústav teorie informace a automatizace

This project focuses on the construction of complex networks of financial markets’ linkages around the world. First, several measures of associations will be considered, describing different aspects of market relationships. Second, suitable subgraphs will be identified, in order to create a suitable network representation capturing main dependencies between markets. Finally, the network structure will be used in inference either as explanatory factor in modelling market characteristics, as well as a dependent variable to be explained by market nodal and edge attributes. This modelling should provide insights into phenomena such as return and volatility spillovers, as well as contagion in times of crisis.