2 papers
q-fin.RM2021
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…
cs.CE2020
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…