Related papers: Agent Simulation of Chain Bankruptcy
We provide a numerical study of the macroscopic model of [3] derived from an agent-based model for a system of particles interacting through a dynamical network of links. Assuming that the network remodelling process is very fast, the…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
In the event that a bacteriological or chemical toxin is intro- duced to a water distribution network, a large population of consumers may become exposed to the contaminant. A contamination event may be poorly predictable dynamic process…
This research explores the opportunities for the application of network analytic techniques to prevent money laundering. We worked on real world data by analyzing the central database of a factoring company, mainly operating in Italy, over…
The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
In this paper, we continue our analysis of spatial versions of agent-based models for the dynamics of money that have been introduced in the statistical physics literature, focusing on two models with debts. Both models consist of systems…
Complex networks are a great tool for simulating the outcomes of different strategies used within the iterated prisoners' dilemma game. However, because the strategies themselves rely on the connection between nodes, then initial network…
Spreading broadly refers to the notion of an entity propagating throughout a networked system via its interacting components. Evidence of its ubiquity and severity can be seen in a range of phenomena, from disease epidemics to financial…
Cardio-pulmonary arrest is a common emergency situation causing over 400,000 deaths per year, more than a 1000 per day, in the USA alone. The goal of this work is to develop an agent based computer simulator that will allow trainers to…
Random networks are a powerful tool in the analytical modeling of complex networks as they allow us to write approximate mathematical models for diverse properties and behaviors of networks. One notable shortcoming of these models is that…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…
The practical utility of agent-based models in decision-making relies on their capacity to accurately replicate populations while seamlessly integrating real-world data streams. Yet, the incorporation of such data poses significant…
Multiagent social network simulations are an avenue that can bridge the communication gap between the public and private platforms in order to develop solutions to a complex array of issues relating to online safety. While there are…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is…
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a…