4 papers
Hub Neighbor-Degree Diagnostics for Sparse Random Graphs
Qian Hui, Tiandong Wang
Networks with nearly identical degree distributions can place their hubs in sharply different neighborhoods. We develop a model diagnostic based on the mean degree of the neighbors…
Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
Qian Hui, Sidney I. Resnick, Tiandong Wang
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following…
Systemic Risk Management via Maximum Independent Set in Extremal Dependence Networks
Qian Hui, Tiandong Wang
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mi…
Mitigating Extremal Risks: A Network-Based Portfolio Strategy
Qian Hui, Tiandong Wang
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal…