Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Enhanced capital-asset pricing model for the reconstruction of bipartite
  financial networks   Reconstructing patterns of interconnections from partial information is one
of the most important issues in the statistical physics of complex networks. A
paramount example is provided by financial networks. In fact, the spreading and
amplification of financial distress in capital markets is strongly affected by
the interconnections among financial institutions. Yet, while the aggregate
balance sheets of institutions are publicly disclosed, information on single
positions is mostly confidential and, as such, unavailable. Standard approaches
to reconstruct the network of financial interconnection produce unrealistically
dense topologies, leading to a biased estimation of systemic risk. Moreover,
reconstruction techniques are generally designed for monopartite networks of
bilateral exposures between financial institutions, thus failing in reproducing
bipartite networks of security holdings (\eg, investment portfolios). Here we
propose a reconstruction method based on constrained entropy maximization,
tailored for bipartite financial networks. Such a procedure enhances the
traditional {\em capital-asset pricing model} (CAPM) and allows to reproduce
the correct topology of the network. We test this ECAPM method on a dataset,
collected by the European Central Bank, of detailed security holdings of
European institutional sectors over a period of six years (2009-2015). Our
approach outperforms the traditional CAPM and the recently proposed MECAPM both
in reproducing the network topology and in estimating systemic risk due to
fire-sales spillovers. In general, ECAPM can be applied to the whole class of
weighted bipartite networks described by the fitness model.

18
The categories of this paper are: econ
28
The categories of this paper are: alg-geom
23
The categories of this paper are: solv-int
11
The categories of this paper are: hep-lat
8
The categories of this paper are: hep-ex
37
The categories of this paper are: supr-con
26
The categories of this paper are: bayes-an
13
The categories of this paper are: quant-ph
4
The categories of this paper are: cond-mat
14
The categories of this paper are: math-ph
30
The categories of this paper are: q-alg
25
The categories of this paper are: patt-sol
31
The categories of this paper are: ao-sci
24
The categories of this paper are: dg-ga
2
The categories of this paper are: math
10
The categories of this paper are: q-bio