Title: Complexity and disagreement in financial networks: A digraph Laplacian approach
Authors: Monica Billio - University of Venice (Italy)
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Michele Costola - Ca' Foscari University of Venice (Italy)
Lorenzo Frattarolo - Universita Ca Foscari (Italy) [presenting]
Abstract: The aim is to develop new measures of network connectivity, that are Von Neumann entropies, related to complexity of the network, and disagreement persistence index, related to learning and opinion dynamics on the network. Both measures are based on the spectrum of Laplacians defined on directed graphs. We show that the new measures account for global connectivity patterns given by paths and walks of the network. We apply the new measures to a sequence of inferred pairwise-Granger networks. In the application, we employ the proposed measures for the system immunization and early warning for banking crises.