Fluctuations in interbank network dynamics

Daniel O. Cajueiro, Benjamin M. Tabak, and Roberto F. S. Andrade
Phys. Rev. E 79, 037101 – Published 18 March 2009

Abstract

This work investigates the scaling properties of fluctuations in the flux of individual agents with respect to their average flux in an interbank network. The analyzed data provide information on daily values of fiasset, the credit provided by bank i in the interbank network, and filiab, the credit received by bank i from the other banks of the network. The investigation focuses on the scaling properties of the fluctuations in the raw data fiasset, filiab, and fR,iext(t)=fiassetfiliab, as well as on similar properties internal and external fluctuations fiint and fiext, which are derived according to a recently proposed methodology [M. Argollo de Menezes and A. L. Barabasi, Phys. Rev. Lett. 93, 068701 (2004)]. Finally, a “rolling sampling” approach is introduced in order to deal with the nonstationarity of the fluxes. The results suggest that exponents are time varying, hinting that the considered interbank network is changing with time.

    • Received 18 July 2008

    DOI:https://doi.org/10.1103/PhysRevE.79.037101

    ©2009 American Physical Society

    Authors & Affiliations

    Daniel O. Cajueiro1, Benjamin M. Tabak2, and Roberto F. S. Andrade3

    • 1Departmento de Economia, Universidade de Brasília, 70910-900 Brasília, Brazil
    • 2Universidade de Catálica de Brasília, 70790-160 Brasília, Brazil
    • 3Instituto de Física, Universidade Federal da Bahia, 40210-340 Salvador, Brazil

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    Issue

    Vol. 79, Iss. 3 — March 2009

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