Joaquín Sánchez García, Sebastian Gherghe
arXiv 12 May 2024 · Econometrics
arXiv:2405.07134 · PDF · DOI · OpenAlex · Extracted main text
Recently, an indicator for stock market fragility and crash size in terms of the Ollivier-Ricci curvature has been proposed. We study analytical and empirical properties of such indicator, test its elasticity with respect to different parameters and provide heuristics for the parameters involved. We show when and how the indicator accurately describes a financial crisis. We also propose an alternate method for calculating the indicator using a specific sub-graph with special curvature properties.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | R. Sandhu , T. T. Georgiou, A.R. Tannenbaum (2016) Ricci curvature: An economic indicator for market fragility and systemic risk | 1.000 | 10 | 4 | 100% |
| 2 | (2003) S. Miccichè, G. Bonanno, F. Lillo, R. Mantegna | 0.811 | 4 | 2 | 100% |
| 3 | (2021) A. Samal , H. Pharasi, J.S. Ramaia, H. Kannan, E. Saucan, J. Jost, A. Chakraborti | 0.737 | 3 | 2 | 100% |
| 4 | (2010) C. K. Tse, J. Liu, F. C. M. Lau | 0.737 | 3 | 2 | 100% |
| 5 | (2016) O.V. Rubleva | 0.737 | 3 | 2 | 100% |
| 6 | (2006) V. Boginski, S. Butenko, P. M. Pardalos | 0.644 | 2 | 2 | 100% |
| 7 | (2023) S. Wu, H. Cheng, J. Cai, P. Ma, w.Zhong | 0.511 | 2 | 1 | 100% |
| 8 | (2020) R.J. McCann | 0.405 | 1 | 1 | 100% |
| 9 | F. Santambrogio | 0.405 | 1 | 1 | 100% |
| 10 | (2009) C. Villani | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 10 scored citations.