英文标题：
《Stationarity, non-stationarity and early warning signals in economic
networks》
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作者：
Tiziano Squartini, Diego Garlaschelli
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最新提交年份：
2014
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英文摘要：
Economic integration, globalization and financial crises represent examples of processes whose understanding requires the analysis of the underlying network structure. Of particular interest is establishing whether a real economic network is in a state of (quasi)stationary equilibrium, i.e. characterized by smooth structural changes rather than abrupt transitions. While in the former case the behaviour of the system can be reasonably controlled and predicted, in the latter case this is generally impossible. Here, we propose a method to assess whether a real economic network is in a quasi-stationary state by checking the consistency of its structural evolution with appropriate quasi-equilibrium maximum-entropy ensembles of graphs. As illustrative examples, we consider the International Trade Network (ITN) and the Dutch Interbank Network (DIN). We find that the ITN is an almost perfect example of quasi-equilibrium network, while the DIN is clearly out-of-equilibrium. In the latter, the entity of the deviation from quasi-stationarity contains precious information that allows us to identify remarkable early warning signals of the interbank crisis of 2008. These early warning signals involve certain dyadic and triadic topological properties, including dangerous \'debt loops\' with different levels of interbank reciprocity.
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中文摘要：
经济一体化、全球化和金融危机代表了一些过程的例子，这些过程的理解需要对底层网络结构进行分析。特别令人感兴趣的是，确定一个实体经济网络是否处于（准）平稳平衡状态，即以平稳的结构变化而不是突然过渡为特征。在前一种情况下，系统的行为可以得到合理的控制和预测，而在后一种情况下，这通常是不可能的。在这里，我们提出了一种评估实际经济网络是否处于准平稳状态的方法，通过检查其结构演化与适当的拟平衡最大熵图集合的一致性。作为示例，我们考虑国际贸易网络（ITN）和荷兰银行间网络（DIN）。我们发现，ITN是准平衡网络的一个几乎完美的例子，而DIN显然是不平衡的。在后者中，偏离准平稳性的实体包含了宝贵的信息，使我们能够识别2008年银行间危机的显著预警信号。这些预警信号涉及某些二元和三元拓扑特性，包括具有不同银行间互惠程度的危险“债务循环”。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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