An Overview of Economic and Financial Complexity
summary
Overview lays out concrete methods and findings: estimate vector autoregression on ~100–200 stocks, prune with a sparse regression and draw a minimum spanning tree, then inject zero shocks to trace how volatility contagion percolates; result shows returns are nearly uncorrelated while volatility has long memory and heterogeneity rises during crisis. Uses spectral stability (May/Wigner) criteria to link network size, connectivity and interaction strength to systemic instability and applies Kalman‑filter style inference for unobserved fundamentals. Results reproduce crisis contagion patterns.
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chapters (17)
- 0:00Introduction
- 2:40Most fundamental difference between physical and financial systems
- 5:28Economic and financial complexity
- 7:41Structure of complexity
- 16:11Impact of 2008
- 19:49Genetic Patterns
- 25:09Newton
- 25:38Speculative Bubble
- 26:09Great Depression
- 27:18Asian Financial Crisis
- 28:15Global Financial Crisis
- 30:20Financial Index
- 30:59Financial Returns
- 31:48Autocorrelation Function
- 32:41Cards Process
- 35:44Week Not Theorem
- 39:39Strategy
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