3 citations · 3 across the 3 of their papers we have counts for
4 papers
Modelling Equity Transaction Networks as Bursty Processes
Isobel Seabrook, Paolo Barucca, Fabio Caccioli
Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper…
Structural importance and evolution: an application to financial transaction networks
Isobel Seabrook, Paolo Barucca, Fabio Caccioli
A fundamental problem in the study of networks is the identification of important nodes. This is typically achieved using centrality metrics, which rank nodes in terms of their pos…
An Information Filtering approach to stress testing: an application to FTSE markets
Isobel Seabrook, Fabio Caccioli, Tomaso Aste
We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effect…
Evaluating structural edge importance in temporal networks
Isobel Seabrook, Paolo Barucca, Fabio Caccioli
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks. Here we define a structural importance metr…