JSAI2019

Presentation information

General Session

General Session » [GS] J-13 AI application

[2O1-J-13] AI application: dynamics in finance

Wed. Jun 5, 2019 9:00 AM - 10:40 AM Room O (Front-left room of 1F Exhibition hall)

Chair:Setsuya Kurahashi Reviewer:Hiroto Yoneno

9:40 AM - 10:00 AM

[2O1-J-13-03] Analysis of Inter-bank Network's Temporal Change Using Clustering Structure Change Detection

〇Yuta Niki1, Kiyoshi Izumi1, Hiroyasu Matsushima1, Hiroki Sakaji1, Takashi Shimada1 (1. School of Engineering, The University of Tokyo)

Keywords:inter-bank network, clustering structure change detection

In this research, a clustering structure change detection method is employed for analyzing temporal changes of the inter-bank network. The inter-bank network is constructed from data of Italian deposit trading system e-MID, and changes in the structure of the network that focused on the type of the bank are analyzed. By using clustering structure change detection, the change of the inter-bank network's structure after Lehman shock is detected, which depends on the type of bank.