Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorpo...Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorporating heterogeneous social influence and adoption thresholds is introduced.For theoretical analysis,a generalized edge-based compartmental theory which considers the heterogeneities of social influence and adoption thresholds is developed.Focusing on the final adoption size,the critical propagation probability,and the phase transition type,social contagions for adoption thresholds that follow normal distributions with various standard deviations,follow various distributions,and correlate with degrees are investigated.When thresholds follow normal distributions,a larger standard deviation results in a larger final adoption size when the information propagation probability is relatively low.However,when the information propagation probability is relatively high,a larger standard deviation results in a smaller final adoption size.When thresholds follow various distributions,crossover phenomena in phase transition are observed when investigating the relationship of the final adoption size versus the average adoption threshold for some threshold distributions.When thresholds are correlated with degrees,similar crossover phenomena occur when investigating the relationship of the final adoption size versus the degree correlation index.Additionally,we find that increasing the heterogeneity of social influence suppresses the effects of adoption threshold heterogeneity on social contagions in three cases.Our theory predictions agree well with the simulation results.展开更多
金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风...金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。展开更多
基金Project supported by the National Natural Science Foundation of China(Grant Nos.62266030 and 61863025)。
文摘Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorporating heterogeneous social influence and adoption thresholds is introduced.For theoretical analysis,a generalized edge-based compartmental theory which considers the heterogeneities of social influence and adoption thresholds is developed.Focusing on the final adoption size,the critical propagation probability,and the phase transition type,social contagions for adoption thresholds that follow normal distributions with various standard deviations,follow various distributions,and correlate with degrees are investigated.When thresholds follow normal distributions,a larger standard deviation results in a larger final adoption size when the information propagation probability is relatively low.However,when the information propagation probability is relatively high,a larger standard deviation results in a smaller final adoption size.When thresholds follow various distributions,crossover phenomena in phase transition are observed when investigating the relationship of the final adoption size versus the average adoption threshold for some threshold distributions.When thresholds are correlated with degrees,similar crossover phenomena occur when investigating the relationship of the final adoption size versus the degree correlation index.Additionally,we find that increasing the heterogeneity of social influence suppresses the effects of adoption threshold heterogeneity on social contagions in three cases.Our theory predictions agree well with the simulation results.
文摘金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。
