arXiv subjects

Rosanna Grassi

Publications and source records attributed to Rosanna Grassi.

26 records · Page 2Linked to original sources

arXiv2020

Community structure in the World Trade Network based on communicability distances

In this paper, we investigate the mesoscale structure of the World Trade Network. In this framework, a specific role is assumed by short and long-range interactions, and hence by the distance, between countries. Therefore, we identify clusters through a new procedure that exploits Estrada communicability distance and the vibrational communicability distance, which turn out to be particularly suitable for catching the inner structure of the economic network. The proposed methodology aims at finding the distance threshold that maximizes a specific modularity function defined for general metric spaces. Main advantages regard the computational efficiency of the procedure as well as the possibility to inspect intercluster and intracluster properties of the resulting communities. The numerical analysis highlights peculiar relationships between countries and provides a rich set of information that can hardly be achieved within alternative clustering approaches.

physics.soc-ph↗

arXiv2020

Stratified communities in complex business networks

This paper presents a new definition of the community structure of a network, which takes also into account how communities are stratified. In particular, we extend the standard concept of clustering coefficient and provide the local $l$-adjacency clustering coefficient of a node $i$. We define it as an opportunely weighted mean of the clustering coefficients of nodes which are at distance $l$ from $i$. The stratus of the community associated to node $i$ is identified by the distance $l$ from $i$, so that the standard clustering coefficient is a peculiar local $l$-adjacency clustering coefficient at stratus $l=0$. As the distance $l$ varies, the local $l$-adjacency clustering coefficient is then used to infer insights on the community structure of the entire network. Empirical experiments on special business networks are carried out. In particular, the analysis of air traffic networks validate the theoretical proposal and provide supporting arguments on its usefulness.

physics.soc-ph↗

arXiv2020

Risk-dependent centrality in economic and financial networks

Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced not only by the variation of the topology of the system but also as a consequence of the external levels of risk to which the network as a whole is submitted. Starting from the "Susceptible-Infected" (SI) model of epidemics and its relation to the communicability functions of networks we develop a series of risk-dependent centralities for nodes in (financial and economic) networks. We analyze here some of the most important mathematical properties of these risk-dependent centrality measures. In particular, we study the newly observed phenomenon of ranking interlacement, by means of which two entities may interlace their ranking positions in terms of risk in the network as a consequence of the change in the external conditions only, i.e., without any change in the topology. We test the risk-dependent centralities by studying two real-world systems: the network generated by collecting assets of the S\&P 100 and the corporate board network of the US top companies, according to Forbes in 1999. We found that a high position in the ranking of the analyzed financial companies according to their risk-dependent centrality corresponds to companies more sensitive to the external market variations during the periods of crisis.

q-fin.MF↗

arXiv2019

Influence measures in subnetworks using vertex centrality

This work deals with the issue of assessing the influence of a node in the entire network and in the subnetwork to which it belongs as well, adapting the classical idea of vertex centrality. We provide a general definition of relative vertex centrality measure with respect to the classical one, referred to the whole network. Specifically, we give a decomposition of the relative centrality measure by including also the relative influence of the single node with respect to a given subgraph containing it. The proposed measure of relative centrality is tested in the empirical networks generated by collecting assets of the $S\&P$ 100, focusing on two specific centrality indices: betweenness and eigenvector centrality. The analysis is performed in a time perspective, capturing the assets influence, with respect to the characteristics of the analysed measures, in both the entire network and the specific sectors to which the assets belong.

physics.soc-ph↗

arXiv2019

Smart network based portfolios

In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some well-known risk-based models in which the estimation of correlation matrix is a building block in the portfolio optimization. We formulate and solve all these portfolio allocation problems using both the standard approach and the network-based approach. Moreover, in constructing the network-based portfolios we propose the use of two different estimators for the covariance matrix: the sample estimator and the shrinkage toward constant correlation one. All the strategies under analysis are implemented on two high-dimensional portfolios having different characteristics, covering the period from January $2001$ to December $2017$. We find that the network-based portfolio consistently better performs and has lower risk compared to the corresponding standard portfolio in an out-of-sample perspective.

q-fin.PM↗

arXiv2018

Asset allocation: new evidence through network approaches

The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three different methods are proposed in order to extract the dependence structure between assets in a network context. Starting from this modified structure, we formulate and then we solve the asset allocation problem. We find that the portfolios obtained through a network-based approach are composed mainly of peripheral assets, which are poorly connected with the others. These portfolios, in the majority of cases, are characterized by an higher trade-off between performance and risk with respect to the traditional Global Minimum Variance (GMV) portfolio. Additionally, this methodology benefits of a graphical visualization of the selected portfolio directly over the graphic layout of the network, which helps in improving our understanding of the optimal strategy.

q-fin.PM↗

arXiv2017

Directed clustering in weighted networks: a new perspective

In this paper, we consider the problem of assessing local clustering in complex networks. Various definitions for this measure have been proposed for the cases of networks having weighted edges, but less attention has been paid to both weighted and directed networks. We provide a new local clustering coefficient for this kind of networks, starting from those existing in the literature for the weighted and undirected case. Furthermore, we extract from our coefficient four specific components, in order to separately consider different link patterns of triangles. Empirical applications on several real networks from different frameworks and with different order are provided. The performance of our coefficient is also compared with that of existing coefficients in the literature.

physics.soc-ph↗

arXiv2016

Higher order assortativity in complex networks

Assortativity was first introduced by Newman and has been extensively studied and applied to many real world networked systems since then. Assortativity is a graph metrics and describes the tendency of high degree nodes to be directly connected to high degree nodes and low degree nodes to low degree nodes. It can be interpreted as a first order measure of the connection between nodes, i.e. the first autocorrelation of the degree-degree vector. Even though assortativity has been used so extensively, to the author's knowledge, no attempt has been made to extend it theoretically. This is the scope of our paper. We will introduce higher order assortativity by extending the Newman index based on a suitable choice of the matrix driving the connections. Higher order assortativity will be defined for paths, shortest paths, random walks of a given time length, connecting any couple of nodes. The Newman assortativity is achieved for each of these measures when the matrix is the adjacency matrix, or, in other words, the correlation is of order 1. Our higher order assortativity indexes can be used for describing a variety of real networks, help discriminating networks having the same Newman index and may reveal new topological network features.

physics.soc-ph↗