Dear all,

we are glad to announce the following seminar by Dr. Piero Mazzarisi (University of Siena) on Tuesday, February 28th 2023 starting from 11:00 in room 4026 at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca (Milan).

Realized Random Graphs, with an application to the Interbank Network

Piero Mazzarisi

Department of Economics and Statistics

University of Siena

Abstract:

This work introduces a new econometric methodology to infer dynamic network models driven by latent state variables. The main idea is to obtain a noisy representation of the state variables dynamics by computing a sequence of cross-sectional estimates of the network model at each point in time. The dynamic modeling of these cross-sectional estimates, that we name realized random graphs, transforms the original nonlinear state-space network model into a linear time-series model that can easily be estimated. Under the assumption that the network is dense, and of a mixed-membership blockmodel structure, we show that the model parameters and the unobservable state variables can be estimated at a super-consistent rate of convergence for large cross sections. By allowing for an extremely rich parameterization of the model in high dimensions, the proposed methodology describes the heterogeneous topology of real-world networks. We corroborate our findings by using this novel framework to estimate and forecast the dynamic common factors driving the evolution of the Italian electronic market of interbank deposits. 

February 28th, 2023, 11:00 a.m.

Department of Statistics and Quantitative Methods

Aula Seminari 4026 - Building U7 (Fourth floor)

Bicocca degli Arcimboldi street, 8 – 20126 Milan

For further information, please write to rosanna.grassi@unimib.it