Totally Remiss on my Blogging...

OK...I am back.  Have been preparing for the start of the teaching term and as such have been a bit absent minded when it comes to blogging.  I have another meeting with my PhD adviser, Ed Hopkins, tomorrow afternoon and assuming he concurs with my research proposal for the next year I will move out smartly.

I have finally obtained access to the CRSP data (which was used in the Billio et al paper on econometric measures of systemic risk) and I plan to start my research by duplicating part of their work and then moving on the analyze a similar data-set for the UK.  I also have plans to ground some of the systemic risk measures a bit more in economic network theory, and then develop a couple measures of my own...

On the theory side of things, I am working on refining a set of research questions to tackle the complexity of large economic networks.  What I am going to try and tackle first is the following: I want to develop a economic model that captures...

1. Densification power laws: networks are becoming denser over time, with the average degree increasing (and hence with the number of edges growing super-linearly in the number of nodes). Moreover, the densification follows a power law pattern
2. Shrinking diameter: The effective diameter is, in many cases, actually decreasing as the network grows.

This idea is motivated by empirical findings and other work from this paper by Leskovic et al.  I have no firm modeling strategy yet, but strategic complements and some type of localized information structure will almost certainly be involved.