arXiv subjects

Matthias Raddant

Publications and source records attributed to Matthias Raddant.

8 recordsLinked to original sources

arXiv2024

The dynamics of diversity on corporate boards

Diversity in leadership positions, including corporate boards, is an important aspect of equality. It is important because it is the key to better decision-making and innovation, and above all, it paves the way for future generations to participate and shape our society. Many studies emphasize the importance of the visibility of role models and the effect that connectivity has on the success of minorities in leadership. However, the connectivity of firms, the dynamics of the adoption of minorities into leadership positions, and the long-term effects in terms of group dynamics and visibility are not well understood. Here, we present a model that shows how these effects work together in a dynamic model that is calibrated with empirical data of firm and board networks. We show that homophily -- the appointment of minorities is influenced by the presence of minorities in a board and its neighboring entities -- is an important effect shaping the trajectory towards equality. We further show how perception biases and feedback related to the visibility of minority members influence the dynamic. We find that reaching equality can be sped up or slowed down depending on the distribution of minorities in central firms. These insights bear significant implications for policy-making geared towards fostering equality and diversity within corporate boards.

econ.TH↗

arXiv2023

Advancing the analysis of resilience of global phosphate flows

This paper introduces a novel method for estimating material flows, with a focus on tracing phosphate flows from mining countries to those using phosphate in agricultural production. Our approach integrates data on phosphate rock extraction, fertilizer use, and international trade of phosphate-related products. A key advantage of this method is that it does not require detailed data on material concentrations, as these are indirectly estimated within the model. We demonstrate that our model can reconstruct country-level phosphate flow matrices with a high degree of accuracy, thereby enhancing traditional material flow analyses. This method bridges the gap between conventional material flow analysis and the economic analysis of resilience of national supply chains, and it is applicable not only to phosphorus but also to other resource flows. We show how the estimated flows can support country-specific assessments of supply security: while global phosphate flows appear moderately concentrated, country-level analyses reveal significant disparities in import dependencies and, in some cases, substantially higher supplier concentration.

econ.GN↗

arXiv2021

Interdependencies of female board member appointments

We investigate the networks of Japanese corporate boards and its influence on the appointments of female board members. We find that corporate boards with women show homophily with respect to gender. The corresponding firms often have above average profitability. We also find that new appointments of women are more likely at boards which observe female board members at other firms to which they are tied by either ownership relations or corporate board interlocks.

econ.GN↗

arXiv2019

Multivariate Garch with dynamic beta

We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters. One factor can be interpreted as the market component, the remaining factors are equal. This allow the analytical calculation of the inverse covariance matrix. The time-dependence of the factors enables the determination of dynamical beta coefficients. We compare the results from our model with the results of other GARCH models for the daily returns from the S\&P500 market and find that they are competitive. As applications we use the daily values of beta coefficients to confirm a transition of the market in 2006. Furthermore we discuss the relationship of our model with the leverage effect.

q-fin.GN↗

arXiv2017

Interconnectedness in the Global Financial Market

The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the global stock market. The energy, materials, and financial sectors play an important role in connecting markets, and this role has increased over time for the energy and materials sectors. Our results confirm the role of global sectoral factors in stock market dependence. Moreover, our results show that the dependencies are rather volatile and that heterogeneity among stocks is a non-negligible aspect of this volatility.

q-fin.ST↗

arXiv2015

Phase Transition in the S&P Stock Market

We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order parameter which can be interpreted within an agent-based model. From 1995 to 2005 the market is in an ordered state and after 2005 in a disordered state.

q-fin.ST↗

arXiv2015

Transitions in the Stock Markets of the US, UK, and Germany

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based model can reproduce these changes. We further show that the initial impulse for the transition might stem from the increase of high frequency trading at that time.

q-fin.PM↗

arXiv2014

Cascades in real interbank markets

We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock size and connectivity. Further results indicate that the ability to limit default risk by spreading the lending to many counterparts decreased with the financial crisis. To evaluate the influence of the network structure on market stability, we compare the simulated cascades from the empirical network with results from different randomized network models. The results show that the empirical network has non-random features, which cannot be captured by rewired networks. The analysis also reveals that simulations assuming homogeneity for size of banks and loan contracts dramatically overestimates the fragility of the interbank market.

q-fin.ST↗