BEGIN:VCALENDAR VERSION:2.0 PRODID:-//jEvents 2.0 for Joomla//EN CALSCALE:GREGORIAN METHOD:PUBLISH BEGIN:VEVENT UID:1e7b737c46d82a76de7eb174011abae3 CATEGORIES:Lecture / Reading / Talk CREATED:20211120T121115 SUMMARY:“Ripples on Financial Networks” - A Talk by Dr. Anindya S Chakrabarti (Indian Institute of Management in Ahmedabad) LOCATION:Ramanujan 001 Lecture Theatre DESCRIPTION:DEPARTMENT OF ECONOMICS SEMINAR SERIES (2018-19) Dr. Anindya S Chakrabarti, Assistant Professor of Economics at the Indian Institute of Management in Ahmedabad, India, is going to deliver a talk on\n“Ripples on Financial Netw orks.”ProfileDr. Anindya S Chakrabarti works as an Assistant Professor of E conomics at IIM Ahmedabad. He works in the area of characterization and mod eling of large scale economic networks, learning in multi-agent systems, an d macroeconomic dynamics. After completing his MSQE from ISI Kolkata, he mo ved to Boston University to complete his PhD. He is a very active researche r and has published more than 20 articles in journals of repute. A few amon g them are Journal of Economic Behavior and Organization, Journal of Econom ic Interaction and Coordination, Dynamic Games and Application, Journal of Economic Dynamics and Control, Physica among others. He has refereed for Ph ysica A, Journal of Economic Interaction & Coordination, Europhysics Le tters, Economic Modeling, Palgrave Communications, European Physical Journa l- Special Topics, Scientific Reports, Journal of the Royal Society Interfa ce, Journal of Economic Dynamics and Control, European Physical Journal B, Vikalpa, Economics, Journal of Quantitative Economics, Journal of Macroecon omics, Macroeconomics and Finance in Emerging Market Economies. He has revi ewed book proposals for Cambridge University Press, Oxford University Press .\nAbstractIn the financial markets, asset returns exhibit collective dynam ics masking individual impacts on the rest of the market. Hence, it is stil l an open problem to identify how shocks originating from one particular as set would create spill-over effects across other assets. The problem is mor e acute when there is a large number of simultaneously traded assets, makin g the identification of which asset affects which other assets even more di fficult. Recently, Diebold and Yilmaz (2015) [Financial and Macroeconomic C onnectedness, OUP] proposed a method based on vector auto-regression (VAR) methodology to model dynamic relationship between multiple return series. I n this paper, we propose a many-dimensional VAR model with unique identific ation criteria based on network topology of the assets traded in the market . Because of the interlinkages across stocks, volatility shock to a particu lar node propagates through the network creating a ripple effect. Our metho d allows us to find the exact path the ripple effect follows on the whole n etwork.\n X-ALT-DESC;FMTTYPE=text/html:

DEPARTMENT OF ECONOMICS SEMINAR SERIES (2018-19) 

Dr. Anindya S Chakrabarti, Assistant Professor of Economics at the Indian Institute of Managemen t in Ahmedabad, India, is going to deliver a talk on

“Ri pples on Financial Networks.”

Profile

Dr. Anindya S Chakrabarti works as an Assistant P rofessor of Economics at IIM Ahmedabad. He works in the area of characteriz ation and modeling of large scale economic networks, learning in multi-agen t systems, and macroeconomic dynamics. After completing his MSQE from ISI K olkata, he moved to Boston University to complete his PhD. He is a very act ive researcher and has published more than 20 articles in journals of reput e. A few among them are Journal of Economic Behavior and Organization, Jour nal of Economic Interaction and Coordination, Dynamic Games and Application , Journal of Economic Dynamics and Control, Physica among others. He has re fereed for Physica A, Journal of Economic Interaction & Co ordination, Europhysics Letters, Economic Modeling, Palgrave Commu nications, European Physical Journal- Special Topics, Scientific Reports, J ournal of the Royal Society Interface, Journal of Economic Dynamics and Con trol, European Physical Journal B, Vikalpa, Economics, Journal of Quantitat ive Economics, Journal of Macroeconomics, Macroeconomics and Finance in Eme rging Market Economies. He has reviewed book proposals for Cambridge U niversity Press, Oxford University Press.

Abstract< /h4>

In the financial markets, asset returns exhibit collective dynamics masking individual impacts on the rest of the market. Hence, it is still an open problem to identify how shocks originating from one particular asset would create spill-over effects across other assets. The problem is more ac ute when there is a large number of simultaneously traded assets, making th e identification of which asset affects which other assets even more diffic ult. Recently, Diebold and Yilmaz (2015) [Financial and Macroeconomic Conne ctedness, OUP] proposed a method based on vector auto-regression (VAR) meth odology to model dynamic relationship between multiple return series. In th is paper, we propose a many-dimensional VAR model with unique identificatio n criteria based on network topology of the assets traded in the market. Be cause of the interlinkages across stocks, volatility shock to a particular node propagates through the network creating a ripple effect. Our method al lows us to find the exact path the ripple effect follows on the whole netwo rk.

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