Journal Of Network Theory In Finance
ISSN:
2055-7795 (print)
2055-7809 (online)
Editor-in-chief: Tiziana Di Matteo
About this journal
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 areas including, but not limited to:
- 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
Abstracting and indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
Latest papers
Relation between regional uncertainty spillovers in the global banking system
The quest for living beta: investigating the implications of shareholder networks
A stock-flow consistent macroeconomic model with heterogeneous agents: the master equation approach
Debt, information asymmetry and bankers on board
This paper contributes to the financial networks literature by providing evidence that well-connected bankers on the boards of directors of nonfinancial firms reduce information asymmetry between credit markets and firms.
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Identifying patterns in the bank–sector credit network of Spain
In this paper, the authors study the topological and structural properties of the bank–sector credit network of Spain over the period 1997–2007.
Evaluating the role of risk networks in risk identification, classification and emergence
This paper presents an evaluation of how risk interdependence affects the risk management process.
Interconnectedness risk and active portfolio management: the information-theoretic perspective
This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
Identifying complex core–periphery structures in the interbank market
This paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
Networks of log returns and volatilities of international stock market indexes
In this paper, the author builds dynamic networks based on correlation and transfer entropy, using both the log returns and the volatilities of 97 stock market indexes from various parts of the world between 2000 and 2016
Systemic risk management in financial networks with credit default swaps
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
Ranking the economic importance of countries and industries
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
Networks and lending conditions: empirical evidence from the Swiss franc money markets
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Causality networks of financial assets
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
Visibility graph combined with information theory: an estimator of stock market efficiency
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.
Quantifying the diversity of news around stock market moves
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.
Nonstationarity of the intraday individual and collective seasonalities of price fluctuations
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.
Reputation risk contagion
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.
