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Network modeling of economic phenomena

Research Project

Project/Area Number 16K03551
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic theory
Research InstitutionKobe University

Principal Investigator

Kobayashi Teruyoshi  神戸大学, 経済学研究科, 准教授 (10387607)

Research Collaborator Caccioli Fabio  
Project Period (FY) 2016-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Keywords複雑ネットワーク / 金融ネットワーク / システミック・リスク / テンポラル・ネットワーク / Backboning / ネットワーク解析 / 銀行間市場 / Temporal networks / 銀行間ネットワーク / ネットワーク / システミックリスク
Outline of Final Research Achievements

In this project, we have done data analysis of interbank networks and developed statistical tools for the study of financial networks. For example, we found daily patterns of interbank trading that was considered to be absent and proposed a tensor-factorization method that allows to detect intra- and interday trading pattern simultaneously. In addition, we applied the developed method to the Italian interbank market and detected a change in the way banks trade with each other at the time of global financial crisis.

Academic Significance and Societal Importance of the Research Achievements

金融現象は金融市場のみならずマクロ経済全体に影響する極めて重要な経済現象であるが、これまでの経済学的モデル・アプローチではその複雑性の理解に十分対応していない。本研究はネットワーク科学の研究アプローチを応用することで、金融取引が複雑に絡み合うことによって形成される金融市場に内在する明確な法則性を複数明らかにした。このことは、金融危機のように様々な社会的コストを伴う自体を未然に回避するために必要となる金融市場のダイナミズムの本質的な理解のための第一歩であり、今後研究が進むことで金融現象を制御する方策につながっていくと期待される。

Report

(4 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (23 results)

All 2019 2018 2017 2016 Other

All Int'l Joint Research (7 results) Journal Article (8 results) (of which Int'l Joint Research: 4 results,  Peer Reviewed: 6 results,  Open Access: 6 results,  Acknowledgement Compliant: 2 results) Presentation (4 results) (of which Int'l Joint Research: 3 results,  Invited: 1 results) Remarks (3 results) Funded Workshop (1 results)

  • [Int'l Joint Research] University of Southern California(米国)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] Aix Marseille Univ(フランス)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] University of Southern California(米国)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] University College London(英国)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] Univeristy of Zurich(スイス)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] Aix Marseille Univ(フランス)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] ブリストル大学(英国)

    • Related Report
      2016 Research-status Report
  • [Journal Article] The structured backbone of temporal social ties2019

    • Author(s)
      Kobayashi Teruyoshi、Takaguchi Taro、Barrat Alain
    • Journal Title

      Nature Communications

      Volume: 10 Issue: 1 Pages: 220-220

    • DOI

      10.1038/s41467-018-08160-3

    • NAID

      120006551690

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Social dynamics of financial networks2018

    • Author(s)
      Kobayashi Teruyoshi、Takaguchi Taro
    • Journal Title

      EPJ Data Science

      Volume: 7 Issue: 1 Pages: 15-15

    • DOI

      10.1140/epjds/s13688-018-0143-y

    • NAID

      120006488440

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Extracting the multi-timescale activity patterns of online financial markets2018

    • Author(s)
      Kobayashi Teruyoshi、Sapienza Anna、Ferrara Emilio
    • Journal Title

      Scientific Reports

      Volume: 8 Issue: 1 Pages: 11184-11184

    • DOI

      10.1038/s41598-018-29537-w

    • NAID

      120006496804

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Identifying relationship lending in the interbank market: A network approach2018

    • Author(s)
      Kobayashi Teruyoshi、Takaguchi Taro
    • Journal Title

      Journal of Banking & Finance

      Volume: 97 Pages: 20-36

    • DOI

      10.1016/j.jbankfin.2018.09.018

    • NAID

      120006546774

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] 非負値テンソル分解による動的な社会・経済行動パターンの抽出2018

    • Author(s)
      小林照義
    • Journal Title

      国民経済雑誌

      Volume: 218 Pages: 31-40

    • NAID

      120006734924

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Network models of financial systemic risk: a review2018

    • Author(s)
      Caccioli Fabio、Barucca Paolo、Kobayashi Teruyoshi
    • Journal Title

      Journal of Computational Social Science

      Volume: 1 Issue: 1 Pages: 81-114

    • DOI

      10.1007/s42001-017-0008-3

    • NAID

      120006488454

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Fragmenting networks by targeting collective influencers at a mesoscopic level2016

    • Author(s)
      Teruyoshi Kobayashi, Naoki Masuda
    • Journal Title

      Scientific Reports

      Volume: 6 Issue: 1 Pages: 37778-37778

    • DOI

      10.1038/srep37778

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] ネットワークにおける複数頂点組の力学的重要性に関する数値的検証2016

    • Author(s)
      入江凛、小林照義、谷口隆晴
    • Journal Title

      国民経済雑誌

      Volume: 214 Pages: 39-50

    • NAID

      120006368031

    • Related Report
      2016 Research-status Report
    • Acknowledgement Compliant
  • [Presentation] Backboning temporal networks2018

    • Author(s)
      Teruyoshi Kobayashi
    • Organizer
      NetSci2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Temporal dynamics of interbank networks2017

    • Author(s)
      Teruyoshi Kobayashi
    • Organizer
      NetSci2017 (satellite: SPFEN)
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] 銀行間ネットワークのデータ解析とモデリング2017

    • Author(s)
      小林照義
    • Organizer
      人工知能学会 (OS19 金融情報学-ファイナンスにおける人工知能応用)
    • Related Report
      2017 Research-status Report
    • Invited
  • [Presentation] A community-based collective influence algorithm for immunizing networks2016

    • Author(s)
      Teruyoshi Kobayashi
    • Organizer
      APEC-SSS
    • Place of Presentation
      東京大学
    • Year and Date
      2016-08-24
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Remarks] ホームページ

    • URL

      https://terukobayashi.wordpress.com/

    • Related Report
      2018 Annual Research Report
  • [Remarks] 本人webページ

    • URL

      https://terukobayashi.wordpress.com/

    • Related Report
      2017 Research-status Report
  • [Remarks] 個人HP

    • URL

      https://terukobayashi.wordpress.com/

    • Related Report
      2016 Research-status Report
  • [Funded Workshop] Network Science Workshop in Kobe2018

    • Related Report
      2018 Annual Research Report

URL: 

Published: 2016-04-21   Modified: 2022-02-21  

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