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Authors: Giuseppe De Marco 1 ; Chiara Donnini 2 ; Federica Gioia 2 and Francesca Perla 2

Affiliations: 1 University of Naples Parthenope and University of Naples Federico II, Italy ; 2 University of Naples Parthenope, Italy

Keyword(s): Financial Networks, Fuzzy Financial Data, Degree of Default, Fixed Point.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Computational Intelligence ; Fuzzy Systems ; Soft Computing

Abstract: Previous literature shows that financial networks are sometimes described by fuzzy data. This paper extends classical models of financial contagion to the framework of fuzzy financial networks. The degree of default of a bank in the network consists in a (real valued) measure of the fuzzy default and it is computed as a fixed point for the dynamics of a modified ”fictitious default algorithm”. Finally, the algorithm is implemented in MATLAB and tested numerically on a real data set.

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Paper citation in several formats:
De Marco, G.; Donnini, C.; Gioia, F. and Perla, F. (2018). Fuzzy Contagion Cascades in Financial Networks. In Proceedings of the 10th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART; ISBN 978-989-758-275-2; ISSN 2184-433X, SciTePress, pages 301-305. DOI: 10.5220/0006530603010305

@conference{icaart18,
author={Giuseppe {De Marco}. and Chiara Donnini. and Federica Gioia. and Francesca Perla.},
title={Fuzzy Contagion Cascades in Financial Networks},
booktitle={Proceedings of the 10th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART},
year={2018},
pages={301-305},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006530603010305},
isbn={978-989-758-275-2},
issn={2184-433X},
}

TY - CONF

JO - Proceedings of the 10th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART
TI - Fuzzy Contagion Cascades in Financial Networks
SN - 978-989-758-275-2
IS - 2184-433X
AU - De Marco, G.
AU - Donnini, C.
AU - Gioia, F.
AU - Perla, F.
PY - 2018
SP - 301
EP - 305
DO - 10.5220/0006530603010305
PB - SciTePress

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