Anindya S. Chakrabarti
Anindya S. Chakrabarti is an associate professor of economics at the Indian Institute of Management Ahmedabad. He had received a Ph.D. in Economics from Boston University in 2015. He was the head of the high-performance computational laboratory at the IIMA. He serves as a co-chairperson for the ePost Graduate Diploma in Advanced Business Analytics offered by IIMA. Currently he is also co-chairing the Brij Disa center for Data Science and Artifical Intelligence at IIMA. He has co-edited a book on “Network Theory and Agent-based Modeling in Economics and Finance” published by Springer, Singapore in December 2019, and has published in internationally reputed journals in economics and physics. His main research interests are in the characterization and modeling of large scale economic and financial networks, business cycles and firm-level granularity, big data and machine learning in economics and public policy, and science of networks.
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Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
This paper studies how correcting for the order of differencing leads to altered filtering and risk computation for inferred networks.