In this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson process with a gamma-distributed intensity function. We extend the SE-NBD process to a multidimensional process. Using the multidimensional SE-NBD process (MD-SE-NBD), we can estimate interactions between these 13 sectors as a network. By applying impact analysis, we can classify upstream and downstream sectors. The upstream sectors are real-estate and financial institution (FI) sectors. From these upstream sectors, shock spreads to the downstream sectors. This is an amplifier of the shock. This is consistent with the analysis of bubble bursts. We compare these results to the multidimensional Hawkes process (MD-Hawkes) that has a zero-variance intensity function.

Masato Hisakado

Kodai Hattori

Shintaro Mori

The Review of Socionetwork Strategies

社会网络战略回顾通过计算机科学和社会科学之间的跨学科研究，促进商业和经济的数据挖掘和数据分析。该评论欢迎诸如处理与大型网络以及大量数据相关的商业、经济和统计分析的文章。 THE REVIEW OF SOCIONETWORK STRATEGIES 的重点是跨政策研究领域和云计算、数据挖掘和多智能体模拟等先进信息技术研究领域的实证结果、方法论以及理论和概念见解。感兴趣的领域包括但不限于金融、医药、护理和零售等领域的消费者行为、企业战略、产业组织和政府政策。

The Review of Socionetwork Strategies promotes interdisciplinary research between computer science and social science, facilitating data mining and data analysis in business and economics. The journal welcomes articles that address business, economic, and statistical analyses related to large networks and vast amounts of data. The focus of the journal is on empirical results, methodologies, and theoretical and conceptual insights in cross-policy research areas and advanced information technology fields such as cloud computing, data mining, and multi-agent simulation. Areas of interest include, but are not limited to, consumer behavior, corporate strategy, industrial organization, and government policy in sectors such as finance, healthcare, nursing, and retail.

《The Review of Socionetwork Strategies》通过跨学科的研究，促进计算机科学与社会科学在商业和经济领域的数据挖掘与分析。该期刊欢迎涉及大型网络及海量数据的商业、经济和统计分析的文章。期刊重点关注跨政策研究领域以及云计算、数据挖掘和多智能体模拟等先进信息技术的实证研究、方法论以及理论和概念的见解。感兴趣的研究领域包括但不限于金融、医药、护理和零售等领域的消费者行为、企业战略、产业组织和政府政策。

Multi-dimensional Self-Exciting NBD Process and Default Portfolios

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Journal Info

Category	Quartile
COMPUTER SCIENCE, INFORMATION SYSTEMS	4