Financial institutions and markets are highly interconnected, but only recently has literature begun to emerge that maps these interconnections and assesses their impact on financial risks and returns. The Journal of Network Theory in Finance is an interdisciplinary journal publishing academically rigorous and practitioner-focused research on the application of network theory in finance and related fields. The journal brings together research carried out in disparate areas within academia and other research institutions by policymakers and industry practitioners.
The Journal of Network Theory in Finance publishes data-driven or theoretical work in, but not limited to, the following areas:
- Empirical network analysis that enables better understanding of financial flows, trade flows, input-output tables, financial exposures or market interdependencies
- Modeling and simulation techniques for measuring interdependent financial risks
- New metrics and techniques for identifying central, vulnerable or systemically important institutions and markets in financial networks
- Network modeling of time-series data for financial risk management, asset allocation and portfolio management
- Social network analysis (SNA) in finance, such as using social network data for making credit and investment decisions
- Applied network visualization techniques that improve the communication of financial risks and rewards
- Analysis of counterparties and their risk exposure from interconnectivity with the financial system and regulatory strategies for improving financial stability
The Journal of Network Theory in Finance has been selected for coverage in Thomson Reuter's Emerging Sources Citation Index.
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
This paper deals with statistical measures based on high frequency data from stock markets, and in particular looks at how these measures changed according to time, with a focus on before and after the crisis of 2008.
How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
In this paper, the authors study the stability of the interbank market to exogenous shocks using an agent-based network framework.
The aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
This papers is the first to link bank liquidity performance and core–periphery network structures.
This paper presents a two-layer order book model.
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
This paper examines the network of communication practices among hedge fund managers.
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
This paper uses network theory to develop models for credit decisions in group lending schemes.