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A Practical Guide to Interpretable Role-Based Clustering ...
[Submitted on 1 Jul 2025 (v1), last revised 10 Jul 2026 (this ve · 2025-07-01 · via cs.LG updates on arXiv.org

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Abstract:Understanding the functional roles of financial institutions within interconnected markets is critical for effective supervision, systemic risk assessment, and resolution planning. We propose an interpretable role-based clustering approach for multi-layer financial networks, designed to identify the functional positions of institutions across different market segments. Our method follows a general clustering framework defined by proximity measures, cluster evaluation criteria, and algorithm selection. We construct explainable node embeddings based on egonet features that capture both direct and indirect trading relationships within and across market layers. Using transaction-level data from the ECB's Money Market Statistical Reporting (MMSR), we demonstrate how the approach uncovers heterogeneous institutional roles such as market intermediaries, cross-segment connectors, and peripheral lenders or borrowers. The results highlight the flexibility and practical value of role-based clustering in analyzing financial networks and understanding institutional behavior in complex market structures.

Submission history

From: Christian Franssen [view email]
[v1] Tue, 1 Jul 2025 09:30:31 UTC (12,461 KB)
[v2] Fri, 10 Jul 2026 14:33:31 UTC (3,090 KB)