Journal of Network Theory in Finance
ISSN:
2055-7795 (print)
2055-7809 (online)
Editor-in-chief: Ron Berndsen
About this journal
This journal is now closed for submissions and all archived content will remain accessible to subscribers. If you were hoping to submit a paper to this journal please consider our other titles.
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
- Complex systems
- Econophysics
- Machine Learning
Abstracting and indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
Latest papers
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.
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
NetMES: a network based marginal expected shortfall measure
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.
A multilayer model of order book dynamics
This paper presents a two-layer order book model.
Directors’ networks and firm valuation in a concentrated ownership structure economy
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
Dynamic visualization of large financial networks
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
A network-based method for visual identification of systemic risks
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.
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Close communications: hedge funds, brokers and the emergence of a consensus trade
This paper examines the network of communication practices among hedge fund managers.
Network centrality, failure prediction and systemic risk
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
European government bond dynamics and stability policies: taming contagion risks
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
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.
Group lending to a borrower network: a partial joint liability model
This paper uses network theory to develop models for credit decisions in group lending schemes.
Too interconnected to fail: a survey of the interbank networks literature
This paper systematically reviews the theoretical literature on interbank networks.
Transmission of shocks in the integrated accounting framework
This paper develops a framework based on integrated national accounting data that aims to capture linkages between different sectors of the economy. The resulting framework provides a useful platform for static policy simulations and shock transmission…