To emphasize and promote this field, SBS organizes the Conference on Financial Econometrics and Networks on May 4-5, 2017.

Björn Hagströmer and Albert J. Menkveld (VU University, Amsterdam) develop a tool to map how information percolates across markets. When the trading of a security is fragmented across exchanges, multilateral trading facilities, and dark pools, the prices at different markets co-move almost instantaneously. Almost. What happens in the time span specified as almost instantaneous? Once new information appears at one market, how does it spread to the other markets trading the same security?

Abalfazl Zareei (who is joining SBS in August 2016) and his coauthors David Moreno and Silvia Mayoral (both at Carlos III de Madrid University) improve the portfolio selection process by looking at the financial market through the lens of network theory.  In their research, a financial market can be conceived as a network with stocks as nodes and links accounting for stock returns’ correlation, lead-lag effects, hedging relations, etc. They explore how the network structure influence portfolio diversification benefits and how network-based investment strategies could be applied to enhance the portfolio performance.

Lu Liu and Ai Jun Hou (both at SBS) and their coauthors Hossein Asgharian and Dominice Goodwin (both at Lund University) study the implications of corporate economic networks for security prices and portfolio diversification strategies. A firm can be affected by the economic and financial impairment of those competing with the firm on the product market, those linked to the firm in the supply chain, and those linked as its creditors and borrowers. In the time dimension of corporate economic networks a firm’s security return co-varies with the present and future security returns of its linked firms. In the space dimension, a shock to a firm may not only propagate to its immediately-linked firms but also to the firms with higher-order links.


Peralta, G., & Zareei, A. (2015). A network approach to portfolio selection. Forthcoming in Journal of Empirical Finance.

Zareei, A. (2015). Network centrality, failure prediction and systemic risk. Journal of Network Theory in Finance 1(4), 1–24.

Working papers

Zareei, A. & Peralta, G. Network origins of portfolio risk.

Mayoral, S. Moreno D. & Zareei, A. Hedging network structure and portfolio diversification.

Hagströmer, B., & Menkveld, A. J. A network map of information percolation.

Research funding:

Supply-chain relationship and product market competition: Implications for security prices. 1.5 million SEK granted by Handelsbankens Forskningstiftelser, 2016. Project leader: Hossein Asgharian (Lund University)

Challenges in Modern Financial Markets. 2 million SEK granted by Handelsbankens Forskningstiftelser, 2016. Project leader: Björn Hagströmer (SBS)