CMStatistics 2020: Start Registration
View Submission - CFE
A0661
Title: COVID-19 spreading in the financial networks Authors:  Monica Billio - University of Venice (Italy) [presenting]
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Michele Costola - Ca' Foscari University of Venice (Italy)
Abstract: Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. A dynamic model is proposed for temporal multilayer networks where the different firms' exposures such as return, volatility, and macroeconomic variables are represented as layers. Each adjacency matrix of a layer is modeled as a function of the other layers allowing to characterize the relationships according to the selected exposures. In the empirical analysis, we study the topology of the network before and after the spreading of the COVID-19.