Network theory

The global network of payment flows

This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.

Granger-causal nonlinear financial networks

This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…