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Bank Networks from Text: Interrelations, Centrality and Determinants

Samuel Rönnqvist, Peter Sarlin, Bank Networks from Text: Interrelations, Centrality and Determinants. Quantitative Finance 15(10), 1619–1635, 2015.

http://dx.doi.org/10.1080/14697688.2015.1071076

Abstract:

In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discourse. We present a text-to-network process, which has its basis in co-occurrences of bank names and can be analyzed quantitatively and visualized. To quantify bank importance, we propose an information centrality measure to rank and assess trends of bank centrality in discussion. For qualitative assessment of bank networks, we put forward a visual, interactive interface for better illustrating network structures. We illustrate the text-based approach on European Large and Complex Banking Groups (LCBGs) during the ongoing financial crisis by quantifying bank interrelations and centrality from discussion in 3M news articles, spanning 2007Q1 to 2014Q3.

BibTeX entry:

@ARTICLE{jRxSa15a,
  title = {Bank Networks from Text: Interrelations, Centrality and Determinants},
  author = {Rönnqvist, Samuel and Sarlin, Peter},
  journal = {Quantitative Finance},
  volume = {15},
  number = {10},
  pages = {1619–1635},
  year = {2015},
  ISSN = {1469-7696},
}

Belongs to TUCS Research Unit(s): Data Mining and Knowledge Management Laboratory

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