Co-movement in crypto-currency markets:evidences from wavelet analysis

We study the time varying co-movement patterns of the crypto-currency prices with the help of wavelet-based methods;employing daily bilateral exchange rate of four major crypto-currencies namely Bitcoin,Ethereum,Lite and Dashcoin.First,we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation.Further,Wavelet Local Multiple Correlation for the given cryptocurrency prices are estimated across different time-scales.From the results,it is found that that the correlation follows an aperiodic cyclical nature,and the crypto-currency prices are driven by Bitcoin price movements.Based on the results obtained,we suggest that constructing a portfolio based on crypto-currencies may be risky at this point of time as the other crypto-currency prices are mainly driven by Bitcoin prices,and any shocks in the latter is immediately transformed to the former.

The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.

Effects of individual heterogeneity on social contagions

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.

DYNAMIC ANALYSIS OF A TYPE OF FINANCIAL RISK CONTAGION MODEL INVOLVING IMMUNITY PERIOD AND SELF-RESCUE

In this paper,we study the dynamics of a Susceptible-Exposed-Infectious-Recovered(SEIR)nancial risk contagion model with time delay.Using stability theory and Hopf bifurcation theory,equilibria stability and Hopf bifurcation are analyzed in detail.Based on the epidemic model,we improve it by taking prior prevention and self-rescue into consideration,conclude pre-ventive intensity and self-rescue capabilities e ect the number of infections.At the same time,the analytical conditions for Hopf bifurcation are obtained,and the relevant results are veri ed by numerical simulations.

Contagion蠕虫传播仿真分析

Contagion蠕虫利用正常业务流量进行传播,不会引起网络流量异常,具有较高的隐蔽性,逐渐成为网络安全的一个重要潜在威胁.为了能够了解Contagion蠕虫传播特性,需要构建一个合适的仿真模型.已有的仿真模型主要面向主动蠕虫,无法对Contagion蠕虫传播所依赖的业务流量进行动态模拟.因此,提出了一个适用于Contagion蠕虫仿真的Web和P2P业务流量动态仿真模型,并通过选择性抽象,克服了数据包级蠕虫仿真的规模限制瓶颈,在通用网络仿真平台上,实现了一个完整的Contagion蠕虫仿真系统.利用该系统,对Contagion蠕虫传播特性进行了仿真分析.结果显示:该仿真系统能够有效地用于Contagion蠕虫传播分析.

Simulation of crowd dynamics in pedestrian evacuation concerning panic contagion:A cellular automaton approach

The study of the panic evacuation process is of great significance to emergency management.Panic not only causes negative emotions such as irritability and anxiety,but also affects the pedestrians decision-making process,thereby inducing the abnormal crowd behavior.Prompted by the epidemiological SIR model,an extended floor field cellular automaton model was proposed to investigate the pedestrian dynamics under the threat of hazard resulting from the panic contagion.In the model,the conception of panic transmission status(PTS)was put forward to describe pedestrians’behavior who could transmit panic emotions to others.The model also indicated the pedestrian movement was governed by the static and hazard threat floor field.Then rules that panic could influence decision-making process were set up based on the floor field theory.The simulation results show that the stronger the pedestrian panic,the more sensitive pedestrians are to hazards,and the less able to rationally find safe exits.However,when the crowd density is high,the panic contagion has a less impact on the evacuation process of pedestrians.It is also found that when the hazard position is closer to the exit,the panic will propagate for a longer time and have a greater impact on the evacuation.The results also suggest that as the extent of pedestrian’s familiarity with the environment increases,pedestrians spend less time to escape from the room and are less sensitive to the hazard.In addition,it is essential to point out that,compared with the impact of panic contagion,the pedestrian’s familiarity with environment has a more significant influence on the evacuation.

释《诗经》中“胡不”,兼及contagion

《诗经》中的“胡不”就是“为什么不”,多是反问,表示强化的肯定。“反问”的意思逐渐消失,只剩强烈的肯定语气。“不康,康也”,“不宁,宁也”,这类“不”,有人推测是表强调的“胡不”的简缩,并称这种现象为语义学上的contagion(沾染、感染)、这是不可靠的。根据Ulmann的《语义学原理》,“为什么非叫他来”的“非”,“维君子命”的“维”,那才真是Breal的contagion。但如果扩展一下,把由于组合与聚合而形成的词义转移,就中有“沾染”特征的,称为contagion,也是可以赞同的。

A new analytical approach for identifying market contagion

This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short-and long-term relationships and correlatedness in the linked model.The results demonstrated that a short-term relationship representing the market speed ratio between two markets plays a key role in contagion dynamics.When a long-term relationship or correlatedness is broken(comovement change)due to a break in the short-term relationship(market speed ratio),contagion is highly likely and should be formally declared.Bayesian posterior probabilities were calculated to determine the cause.Furthermore,this study applied this analytical Bayesian approach to empirically test the contagion effects of the U.S.stock market during the global financial crisis between 2007 and 2009 using 22 developed equity markets.

The relative importance of competition to contagion:evidence from the digital currency market

How does the valuation change of an industry leader influence its competitors?Does it induce a competitive effect or a contagion effect?What are the driving forces of such influences?We attempted to answer these questions within digital currency markets.We found that both close and distant competitors against an industry leader experience high competitive effects,while moderate competitors experience high contagion effects.Next,we empirically demonstrated how this Ushaped pattern reduces to a linear relationship depending on the industry concentration.Lastly,we identified eight distinct information categories from a social media platform of the industry leader and compared the influence of the eight information categories on the industry leader’s competitors.Our analysis suggests that the relative importance of the competitive effect to the contagion effect in the industry depends on the category of the information.

Investigating liquidity constraints as a channel of contagion: a regime switching approach

The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.

Was There a Contagion during the Asian Crises?

The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.

A Dynamic Cross Contagion Model of Currency Crisis between Two Countries

The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.

A Nonlinear Dynamic Model of the Financial Crises Contagions

Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force depending on the timely financial assistance, the positive attitude and actions to rescue other infected countries, and investor confidence aggregation, and the immunity ability of the infected country are considered as the major reasons to drive the nonlinear fluctuations of the stock return rates in both countries during the crisis. According to the Ordinary Differential Equations Qualitative Theory, we found that there are three cases of financial crises contagion within a brief time between two countries: weak contagion with instability but inhibition, contagion with limit and controllable oscillation, and strong contagion without control in a brief time.

Effects of heterogeneous adoption thresholds on contact-limited social contagions

Limited contact capacity and heterogeneous adoption thresholds have been proven to be two essential characteristics of individuals in natural complex social systems,and their impacts on social contagions exhibit complex nature.With this in mind,a heterogeneous contact-limited threshold model is proposed,which adopts one of four threshold distributions,namely Gaussian distribution,log-normal distribution,exponential distribution and power-law distribution.The heterogeneous edge-based compartmental theory is developed for theoretical analysis,and the calculation methods of the final adoption size and outbreak threshold are given theoretically.Many numerical simulations are performed on the Erdös-Renyi and scale-free networks to study the impact of different forms of the threshold distribution on hierarchical spreading´process,the final adoption size,the outbreak threshold and the phase transition in contact-limited propagation networks.We find that the spreading process of social contagions is divided into three distinct stages.Moreover,different threshold distributions cause different spreading processes,especially for some threshold distributions,there is a change from a discontinuous first-order phase transition to a continuous second-order phase transition.Further,we find that changing the standard deviation of different threshold distributions will cause the final adoption size and outbreak threshold to change,and finally tend to be stable with the increase of standard deviation.

ON THE OBJECTIVE STRESS RATE IN CO-MOVING COORDINATE SYSTEM

The objective stress rate is a rather important problem in mechanics of finite deformation. In this paper, the objective stress rate in co-moving coordinate is derived by applying nonlinear geometric field theory of deformation. Problems, such ax targe extension coupled with rotation, and large shear deformation, are exemplified by using the new formula. Comparing with Jaumann 's stress rate and other formulae presented in current literature, the new result appears to be the reasonable one in co-moving coordinate system.

The Causes of Contagion： Rational or Irrational Behavior？

The threats concerning financial stability seriously affect the overall functioning of the economy at a local, regional, national, and continental level instead of a global level, and therefore, the emphasis is laid on analyzing the causes and effects of such threats. Financial crises in the current decade, as well as those in the past have shown that a major cause of instability in the global market is the so-called financial contagion. This leads to a natural question： whether similar authorities could specify and mitigate these shocks through efficient calculation followed by stability measures taken by banking networks. To answer this question, an empirical research was conducted by analyzing the degree of contagion induced by markets in Central and Eastern Europe, based on an econometric model, involving over 17 European countries, from January 2006 to January 2013.

气候风险与系统性风险传染——来自中国上市金融机构的经验证据

本文基于2011—2021年中国51家上市金融机构的微观数据,构建了金融机构间系统性风险传染网络,并从微观层面实证研究了气候风险对金融机构间系统性风险传染的影响及传导路径。研究发现,气候风险事件下金融机构间的网络关联度更紧密,彼此间的系统性风险传染水平显著提升。气候风险主要通过加大投资者恐慌情绪提升金融机构间的系统性风险传染水平。相较于大型金融机构,气候风险冲击下中小型金融机构的系统性风险输出与风险输入水平更高;经济政策不确定性的提高会进一步加剧气候风险对金融机构的负面冲击;《巴黎协定》的提出会缓解气候物理风险对金融机构间系统性风险传染的负面影响,但在一定程度上会加剧气候转型风险对金融机构间系统性风险传染的负面影响。本文为防范气候相关金融风险与维护金融体系的稳定提供了政策启示和决策参考。

行业指数波动同步性、风险溢出与传染渠道研究--基于中国股票市场的经验证据

基于2005—2021年的申万一级行业指数,采用GED-GJR-GARCH-DCC模型考察行业波动的同步性,并借助VAR模型的广义方差分解方法构建波动风险溢出层次网络,系统性分析风险的跨行业传染问题。研究发现,行业波动的动态变化具有明显的“事件驱动”特征,极端事件不仅加剧了行业间波动的同步性、非对称性和溢出效应,而且破坏了行业波动关联网络的原有结构。从行业波动的方向性溢出来看,位于产业链中游的制造类行业具有较强的风险溢出能力,上游资源类行业和金融类支撑性行业容易受到其他行业的冲击,具有风险净吸收效应。行业波动溢出层次网络揭示出风险的跨行业传染沿循“风险输出型行业—风险中介型行业—风险吸收型行业”的传导渠道。鉴于此,监管部门应当根据行业风险传染机制进行分类监管,平抑行业波动同步性,切断风险传染渠道,提高风险监控和处理能力。

跨金融市场的风险传染和风险对冲:基于高维VAR for VaR模型的研究

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。

经济政策不确定性对我国银行风险传染的影响研究

为研究经济政策不确定性对我国银行风险传染的影响,本文首先根据银行间溢出效应,采用基于LASSO-VAR的广义溢出方差分解模型构建银行风险传染网络,识别银行风险传染网络中的系统重要性银行。其次结合BK溢出指数,从频域的视角探讨经济政策不确定性对我国银行风险传染的影响。最后使用固定效应模型,探究不同经济政策不确定性对我国银行风险传染的影响。研究发现,在受到经济政策不确定性冲击时大型商业银行的节点重要性有所上升,高频时的网络结构更加紧密。对不同经济政策不确定性来说,贸易政策、货币政策不确定性会提高银行风险。研究结果为我国银行业化解经济政策不确定性带来的负面影响具有一定的借鉴意义。