Journal of Network Theory in Finance
Editor-in-chief: Ron Berndsen
Volume 2, Number 4 (December 2016)
This is the first issue of The Journal of Network Theory in Finance to contain contributions generated by discussions and talks given at the twelfth annual Econophysics Colloquium (EC), which was held this year in São Paulo, Brazil from July 27 to 29. This annual meeting, which has been held every year since 2005, brings together physicists and economists as well as researchers and practitioners from many other fields to discuss the statistical methods, quantitative measures, modeling, simulations and computation of financial and economic systems. It has taken place in Canberra (Australia) and has had editions in Tokyo (Japan), Ancona (Italy), Kiel (Germany), Erice (Italy), Taipei (Taiwan),Vienna (Austria), Zurich (Switzerland), Pohang (South Korea), Kobe (Japan) and Prague (Czech Republic). Among its speakers have been some of the most influential researchers and practitioners in the area of econophysics (see http://bit.ly/2hJFYeu).
This issue contains the first two EC contributions. In our first paper, "Financial networks and bank liquidity" by Thiago Christiano Silva, Marcos Soares da Silva and Benjamin Miranda Tabak, the Brazilian interbank network is studied and, for the first time, banks' liquidity performance and core-periphery network structures are linked. In particular, the authors show that core-periphery structures can enhance liquidity performance, and that there is a positive and statistically significant relationship between liquidity performance and centrality. These findings are relevant for policy makers and financial regulators alike.
"Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning" by R.V. Barroso, J. I. A.V. Lima, A. H. Lucchetti and D. O. Cajueiro, the second paper in the issue, proposes a new agent-based model to assess the effects of different regulation policies on the banking system. This paper mainly shows that the regulatory guidelines of the Basel Accord are effective in reducing the probability of bank failure; however, they also have drawbacks and may reduce bank activity or trigger moral hazard. The potential for futurework on, and expansions of, this model are also mentioned in the paper, leaving readers with much to ponder regarding the model's full potential.
More papers generated by the econophysics community and co-authored by thought leaders in this field are due to appear in upcoming issues of The Journal of Network Theory in Finance, so keep an eye out for these and, until then, enjoy reading and Happy New Year to all our readers!
Kimmo Soramäki and Tiziana Di Matteo
Financial Network Analytics Ltd. and King's College London
Papers in this issue
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
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.