BIGDATA: Collaborative Research: IA: F: Too Interconnected to Fail? Network Analytics on Complex Economic Data Streams for Monitoring Financial Stability

最近的金融危机突出了对金融市场和金融机构进行有效监测、监督和管理的必要性。涉及金融机构之间错综复杂的相互关联关系的复杂市场结构有助于传播和放大冲击，从而也会助长系统性风险。该项目开发了一个综合框架，以会计原则为基础，利用各种各样的定量金融数据流，辅以元数据和市场公告，以识别和预测可能危及整个金融体系的市场参与者。拟议的研究建立在现代统计学和计算机科学著作，以及最近的金融和经济思想的基础上，这些思想旨在评估对金融稳定的威胁，并揭示不同市场条件下金融体系的复杂性。它将产生复杂大数据的新方法和实证结果，可以推动金融研究的最新进展，以及支持和加强金融政策制定和决策的工具。该项目的主要任务包括：(1)制定严格的会计框架，以整合来自多个平台和技术的多个财务和计量数据流。(2)开发和定制一系列新的网络模型和分析工具，用于多种金融数据流。一个重要的想法是扩展网络和计量经济工具，以便比较不同类型的网络在响应外部事件和政策变化时的结构演变。

The recent financial crisis has accentuated the need for effective monitoring, oversight and regulation of financial markets and institutions. Complex market structures involving intricate interconnected relationships among financial institutions can help propagate and amplify shocks and hence also foster systemic risk. This project develops an integrative framework, based on accounting principles, that leverages a wide array of diverse quantitative financial datastreams, complemented by metadata and market announcements for the purpose of identifying and predicting market participants that could endanger the overall financial system.The proposed research builds upon modern statistics and computer science works, as well as recent financial and economic ideas aimed at assessing threats to financial stability and uncovering the complexity of financial systems in different market conditions. It will result in both new methods for complex Big Data and empirical results that can advance the state-of-the-art in financial research, as well as tools that support and enhance financial policymaking and decision-making. Key tasks of the project include: (1) Develop a rigorous accounting framework to integrate multiple financial and econometric data streams from many platforms and technologies. (2) Develop and customize a range of new network models and analysis tools for use with multiple financial data streams. An important idea will be to extend network and econometric tools in order to compare the structural evolution of different types of networks in response to external events and policy changes.