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

最近的金融危机凸显了对金融市场和机构进行有效监测、监督和管制的必要性。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可能有助于传播和放大冲击，因此也会滋生系统性风险。这个项目以会计原理为基础，开发了一个综合框架，利用各种不同的量化金融数据流，辅以元数据和市场公告，目的是识别和预测可能危及整体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成果的基础上，以及旨在评估金融稳定面临的威胁和揭示不同市场条件下金融体系复杂性的最新金融和经济想法。它将产生处理复杂大数据的新方法和可以推动金融研究最先进水平的实证结果，以及支持和增强金融政策和决策的工具。该项目的主要任务包括：(1)开发一个严格的会计框架，以整合来自多个平台和技术的多种金融和计量经济学数据流。(2)开发和定制一系列新的网络模型和分析工具，以用于多种金融数据流。一个重要的想法将是扩展网络和计量经济学工具，以便比较不同类型的网络在应对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.