The network structure of overnight index swap rates

Ming Fang; Stephen Taylor; Ajim Uddin

doi:10.1016/j.frl.2021.102425

The network structure of overnight index swap rates

Ming Fang, Stephen Taylor, Ajim Uddin

New Jersey Institute of Technology, Stevens Institute of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

Graph theoretical techniques are utilized to examine the centrality structure of overnight index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise relationships between distinct OIS rates. Multiple notions of graph centrality are considered, and the time evolution of these measures is studied. A principal component analysis based centrality measure is constructed to examine comovements between full OIS curves. Numerical examples demonstrating these ideas are provided.

Original language	American English
Article number	102425
Journal	Finance Research Letters
Volume	46
DOIs	https://doi.org/10.1016/j.frl.2021.102425
State	Published - May 2022

ASJC Scopus subject areas

Finance

Keywords

Fixed income
Graph centrality
Overnight index swap rates
Principal component analysis

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10.1016/j.frl.2021.102425

Cite this

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title = "The network structure of overnight index swap rates",

abstract = "Graph theoretical techniques are utilized to examine the centrality structure of overnight index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise relationships between distinct OIS rates. Multiple notions of graph centrality are considered, and the time evolution of these measures is studied. A principal component analysis based centrality measure is constructed to examine comovements between full OIS curves. Numerical examples demonstrating these ideas are provided.",

keywords = "Fixed income, Graph centrality, Overnight index swap rates, Principal component analysis",

author = "Ming Fang and Stephen Taylor and Ajim Uddin",

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AU - Uddin, Ajim

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AB - Graph theoretical techniques are utilized to examine the centrality structure of overnight index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise relationships between distinct OIS rates. Multiple notions of graph centrality are considered, and the time evolution of these measures is studied. A principal component analysis based centrality measure is constructed to examine comovements between full OIS curves. Numerical examples demonstrating these ideas are provided.

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KW - Principal component analysis

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The network structure of overnight index swap rates

Abstract

ASJC Scopus subject areas

Keywords

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