Category Archives: Research

New research on financial networks from 2009

By Kimmo Soramäki | Published: January 4, 2010
The year 2009 is now gone and its time to look back at the research on financial networks and related topics from that year. Here are some that I found. Please help me add to the list. Liasons Dangereuses: Incresing connectivity, risk sharing and systemic risk (by Stefano Battiston, Domenico Delli Gatti, Mauro Gallegati, Bruce C. [...]
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Workshop on Financial Networks and Risk Assessment

By Kimmo Soramäki | Published: December 18, 2009
MITACS is organizing a Workshop on Financial Networks and Risk Assessment, taking place in Toronto from May 19 to May 21, 2010. The workshop is part of the MITACS International Focus Period on Advances in Network Analysis and its Applications and will be attended by 30-50 specialists in the field (from academia and business) as [...]
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Informational Properties of Trading Networks

By Kimmo Soramäki | Published: November 3, 2009
There is a new interesting paper “On the Informational Properties of Trading Networks” by Adamic, Brunetti Harris and Kirilenko using transaction level data for all regular transactions in September 2008 E-mini S&P 500 futures contracts. They construct networks from executed trades and then look at the structure of these networks and relate them to returns, volatility, [...]
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ECB workshop on “Recent advances in modelling systemic risk using network analysis”

By Kimmo Soramäki | Published: October 9, 2009
European Central Bank (ECB) organized a workshop with the above title last Monday, 5th of October. It was the first event of this scale gathering researchers applying network theory and network analysis on banking, financial stability and systemic risk topics. The introductory remarks to the workshop were given by Gertrude Tumpel-Gugerell, Member of the ECB’s [...]
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Receipt reactive gross settlement simulator

By Kimmo Soramäki | Published: September 13, 2009
The Receipt Reactive Gross Settlement (RRGS) method was proposed by Jamie McAndrews in Johnson-McAndrews and Soramaki (2004) as a new, incentive compatible liquidity saving mechanism. The basic idea of RRGS is that banks are sure to use only incoming funds to settle their less urgent payments. Each bank has the incentive to submit payments to [...]
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7th Bank of Finland Simulation seminar

By Kimmo Soramäki | Published: September 4, 2009
The Bank of Finland’s simulation seminar was organized for the 7th time on 24-26 August 2009. I thought both the talks and the discussions on the agenda this year were of high quality. I presented some work done together with Marco Galbiati on central counterparties and the topology of clearing networks. The conference covered analysis [...]
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Software for identifying interbank loans from payment data

By Kimmo Soramäki | Published: August 21, 2009
In 1999 Craig Furfine published the article “Interbank exposures: quantifying the risk of contagion” (BIS Working paper, No. 70) where he for the first time used data on individual payments settled in the interbank payment system to construct a time series of the unsecured overnight loan market. The methodology has since been duplicated by numerous [...]
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Simulation analyses and stress testing of payment networks

By Kimmo Soramäki | Published: July 10, 2009
The third edition of Bank of Finland series on payment and settlement system simulation studies has been published today. The preliminary versions of the papers have been presented at the annual simulator seminars arranged by the Bank in 2007 and 2008. The main focus of the analyses in this edition is on business continuity arrangements, [...]
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Genetic algorithms in Java

By Kimmo Soramäki | Published: March 26, 2009
As part of another project I revisited some Java code for developing genetic algorithms (GA). I had programmed them earlier as part of our Agent-based simulations where banks’ decision making evolved through the use of genetic algorithms. I decided to make the general purpose GA code available in case someone finds a use for it. [...]
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The Financial Crisis and the Systemic Failure of Academic Economics

By Kimmo Soramäki | Published: March 10, 2009
I got my hands on this excellent "opinion paper" entitled "The Financial Crisis and the Systemic Failure of Academic Economics" by eight well known economists (Dahlem report). The paper outlines what went wrong with economics and finance in retrospect to the current crisis, and track it back (kindly said) to the failure of economics to [...]
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