The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent studies of this problem have relied on numerical simulations. Here we report analytical results in a network model of interbank lending based on directly relevant financial parameters, such as interest rates and leverage ratios. Using a mean-field approach, we obtain a closed-form formula for the "critical degree", viz. the number of creditors per bank below which an individual shock can propagate throughout the network. We relate the failures distribution (probability that a single shock induces $F$ failures) to the degree distribution (probability that a bank has $k$ creditors), showing in particular that the former is fat-tailed whenever the latter is. Our criterion for the onset of contagion turns out to be isomorphic to the condition for cooperation to evolve on graphs and social networks, as recently formulated in evolutionary game theory. This remarkable connection supports recent calls for a methodological rapprochement between finance and ecology.
What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary
Biondi et al.（2012）开发了一个分析模型，以研究股票市场价格形成随时间推移的新兴动态特性，能够捕捉重要的程式化事实。这些后一种性质证明是敏感的基本信息提供的监管制度，以及对市场的信心条件之间的实际和潜在的投资者。以按市价（公允价值）计量交易证券为基础的制度虽然在市场价格和基本信号之间产生较高的线性相关性，但也涉及较高的市场不稳定性和波动性。这些制度还在市场信心空间的某些区域引发更多相关的市场繁荣和反复无常的事件，在这些区域进一步出现较低的市场流动性。
Artificial Intelligence and Systemic Risk: A Unified Model of Performative Prediction, Algorithmic Herding, and Cognitive Dependency in Financial Markets
Aggregation operators for the measurement of systemic risk
Goethe University（歌德大学）；Center of Excellence SAFE at Goethe University Frankfurt（法兰克福歌德大学卓越中心SAFE）；Institute for Advanced Management Systems Research (IAMSR), Åbo Akademi University（奥博学术院高级管理系统研究所）；Hanken School of Economics（汉肯经济学院）；Arcada University of Applied Sciences（阿尔卡达应用科学大学）
