Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries

We construct time-varying tail risk networks to investigate systemic risk spillovers in the Belt and Road (B&R) stock markets during 2008–2021. Network metrics clearly reflect aggregate risk level and individual risk accumulation for the B&R stock markets under extreme events (e.g., 2008 financial crisis and COVID-19 pandemic). Tail-event driven network quantile regression analysis shows that network impacts of the B&R stock markets under different risk levels are asymmetric and regional heterogeneity. Panel analysis on determinants of systemic risk spillovers shows that cross-border investment and international trade are significant contagion channels while economic freedom is potential driver. © 2023 Elsevier B.V.

Covid-19 Vaccination and Covid 19 Infection in Atypical Hemolytic Uremic Syndrome: One Single Center Study in Taiwan

Introduction: Acute kidney injury, microangiopathic hemolytic anemia and thrombocytopenia with multiple organ thrombotic microangiopathy (TMA) are typical characteristic presentation of Atypical hemolytic uremic syndrome(aHUS). Infection, pregnancy, operation, and some medication can be a trigger factor to induce the complement system over activation and induce atypical hemolytic uremic syndrome unstable to a life-threatening condition. Both SARS-CoV-2(Severe Acute Respiratory Syndrome Coronavirus 2) infection and COVID 19 vaccination are reported to be the trigger factors for aHUS. There are no clinical trial enrolled aHUS cases to COVID 19 vaccine or anti SARS-CoV2 agent. Therefore, aHUS became a tough medical issue in this pandemic status. In this study, we evaluate the efficacy and disease activity of aHUS after COVID 19 vaccination. Meanwhile, we analysis the severity of COVID 19 infection in our 21 aHUS cases. Method(s): There are 21 aHUS cases enrolled this study from April 2022 to September 2022. Each cases with regular blood sampling which include hemolysis markers (Hemoglobin, Platelet count, LDH, CH50, haptoglobin, Blood smear), renal function and urine analysis every months. While them had COVID 19 vaccination or COVID 19 infection, the above blood sampling and urine analysis should be followed up two weeks later. Once the aHUS cases became severe condition and need hospitalization, our medical team must visit these cases closely and monitor if any new critical issue happen. We confirmed the serum SARS-CoV-2 Spike IgG and Interferon-gamma (IFNgamma) release assay testing for the vaccination efficacy analysis. Result(s): 21 aHUS cases all had COVID 19 vaccination, 2 cases received 1 dose vaccine, 6 cases received 2 doses vaccine and 13 cases received 3 doses vaccine. Only one case with aHUS unstable after Moderna vaccine injection which is self-limited gradually and didn't need extra dose of anti-complement therapy. Interestingly, this case with stable aHUS disease activity while he switches to Pfizer-BioNTech vaccine as his 2nd dose. The SARS CoV-2 Spike IgG level and IFNgamma level are corelated to the dosage of COVID 19 vaccination, the higher doses with the higher level. The SARS-CoV2 spike IgG and IFNgamma level without lower response to the group with regular anti-C5 treatment. For those complete three dose vaccination cases, mix type of COVID-19 vaccination (AZ/mRNA) with better efficacy trend to fix type of mRNA. During this study period, there are 4 cases with COVID 19 infection. One case (already had 2 doses COVID 19 vaccination) needed hospitalization and improved after remdesivir and dexamethasone treatment who with mild aHUS disease activity progression. Two cases (complete three doses COVID 19 vaccination) with stable aHUS disease activity after Molnupiravir treatment. One case (complete three doses COVID 19 vaccination) refused Molnupiravir treatment and had mild aHUS disease activity progression. Conclusion(s): According to our study, we recommend the aHUS patient to have COVID 19 vaccination and multiple doses are more protective for them. aHUS disease activity should be close monitor especially after COVID 19 vaccination, during COVID 19 infection and after COVID 19 infection. Remdesivir and Molmupiravir are relative safe to use for aHUS cases. No conflict of interestCopyright © 2023

Forecasting global stock market volatilities in an uncertain world

We investigate the predictive relationship between uncertainty and global stock market volatilities from a high-frequency perspective. We show that uncertainty contains information beyond fundamentals (volatility) and strongly affects stock market volatility. Using several crucial uncertainty measures (i.e., uncertainty and implied volatility indices), we prove that the CBOE volatility index (VIX) performs best in point (density) forecasting;the financial stress index (FSI) in directional forecasting. Furthermore, VIX's predictive power improved dramatically after the COVID-19 outbreak, and the VIX-based portfolio strategy enables mean-variance investors to achieve higher returns. There are two empirical properties of VIX: (i) it helps reduce significantly forecast variance rather than bias;and (ii) its forecasts encompass other uncertainty forecasts well. Overall, we highlight the importance of considering uncertainty when exploring the expected stock market volatility. © 2022 Elsevier Inc.

Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning

We study the co-movement between innovative financial assets (i.e., FinTech-related stocks, green bonds and cryptocurrencies) and traditional assets. We construct a co-movement mode transmission network and discuss the network topology during the pre-COVID-19 and COVID-19 periods. We extract network topology information to predict the co-movement mode by machine learning algorithms. We further propose dynamic trading strategies based on the co-movement mode prediction. The empirical results show that (i) the evolution of co-movement is dominated by some key modes, and the mode transmission relies on intermediate modes and shows certain periodicity;(ii) the co-movement relationships are influenced by the ongoing COVID-19 outbreak;and (iii) the novel approach, which combines complex network and machine learning, is superior in co-movement mode prediction and can effectively bring diversification benefits. Our work provides valuable insights for market participants. © 2022 Elsevier B.V.

Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets

This paper proposes a novel interconnected multilayer network framework based on variance decomposition and block aggregation technique, which can be further served as a tool of linking and measuring cross-market and within-market contagion. We apply it to quantifying connectedness among global stock and foreign exchange (forex) markets, and demonstrate that measuring volatility spillovers of both stock and forex markets simultaneously could support a more comprehensive view for financial risk contagion. We find that (i) stock markets transmit the larger spillovers to forex markets, (ii) the French stock market is the largest risk transmitter in multilayer networks, while some Asian stock markets and most forex markets are net risk receivers, and (iii) interconnected multilayer networks could signal the financial instability during the global financial crisis and the COVID-19 crisis. Our work provides a new perspective and method for studying the cross-market risk contagion. © 2023 Elsevier Inc.

Forecasting global stock market volatilities in an uncertain world

We investigate the predictive relationship between uncertainty and global stock market volatilities from a highfrequency perspective. We show that uncertainty contains information beyond fundamentals (volatility) and strongly affects stock market volatility. Using several crucial uncertainty measures (i.e., uncertainty and implied volatility indices), we prove that the CBOE volatility index (VIX) performs best in point (density) forecasting;the financial stress index (FSI) in directional forecasting. Furthermore, VIX's predictive power improved dramatically after the COVID-19 outbreak, and the VIX-based portfolio strategy enables mean-variance investors to achieve higher returns. There are two empirical properties of VIX: (i) it helps reduce significantly forecast variance rather than bias;and (ii) its forecasts encompass other uncertainty forecasts well. Overall, we highlight the importance of considering uncertainty when exploring the expected stock market volatility.

The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors

The COVID-19 pandemic has showed that distress to the financial system is always accompanied with the interconnection between the stock and bond markets. However, limited studies have identified the flight-toquality effect between these two markets from a nonlinear extreme perspective. Thus, using the multi-quantile VaR Granger causality test that measures the non-linearity of extreme risk, we investigated this effect in Chinese sectors via extreme risk spillover networks. Based on the findings, defensive (offensive) sectors are dominant in the stock market when facing upside (downside) risk to avoid potential investment losses. The results also confirm the robustness of the conclusion that the investment function of the financial markets weakened during the financial crisis. Moreover, compared to the Financial Bond and Enterprise Bond, the Government Bond is likely to show better risk hedging effect in cross-market risk spillover networks due to its high information transparency.

Gratitude and Graph Theory in the Time of Coronavirus

In this work, we describe two activities that we have designed - suitable for an introductory undergraduate course in computational and data science - that introduce rudimentary principles of graph theory. Both activities feature simple premises (yet have the potential for significant depth, depending on student interest and mathematical maturity), strengthen students' abilities in mathematical and computational reasoning, and interweave timely “out-of-the-classroom” themes that will resonate in 2021 and beyond. We also provide qualitative results from the deployment of these activities in a sophomore-level civil and environmental engineering class. © American Society for Engineering Education, 2021