IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1807.02923.html
   My bibliography  Save this paper

Emergence of frustration signals systemic risk

Author

Listed:
  • Chandrashekar Kuyyamudi
  • Anindya S. Chakrabarti
  • Sitabhra Sinha

Abstract

We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics of the New York Stock Exchange between 1926-2016, showing that periods marked by systemic crisis, viz., around the Great Depression of 1929-33 and the Great Recession of 2007-09, are associated with emergence of frustration indicated by the loss of structural balance in the interaction networks. During these periods the dominant eigenmodes characterizing the collective behavior exhibit delocalization leading to increased coherence in the dynamics. The topological structure of the networks exhibits a slowly evolving trend marked by the emergence of a prominent core-periphery organization around both of the crisis periods.

Suggested Citation

  • Chandrashekar Kuyyamudi & Anindya S. Chakrabarti & Sitabhra Sinha, 2018. "Emergence of frustration signals systemic risk," Papers 1807.02923, arXiv.org.
    • Handle: RePEc:arx:papers:1807.02923
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1807.02923
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chakrabarti, Arnab & Chakrabarti, Anindya S., 2020. "Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks," IIMA Working Papers WP 2020-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1807.02923. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.