Related papers: Systemic risk in a network fragility model analyze…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
Random walks are one of the best investigated dynamical processes on graphs. A particularly fascinating phenomenon is the scaling relationship of fluctuations $\sigma $ with the average flux $\langle f \rangle $. Here we analyze how network…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
This paper is a review dealing with the study of large size random recurrent neural networks. The connection weights are selected according to a probability law and it is possible to predict the network dynamics at a macroscopic scale using…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
A crucial challenge in network theory is the study of the robustness of a network after facing a sequence of failures. In this work, we propose a dynamical definition of network's robustness based on Information Theory, that considers…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Cascading failures and epidemic dynamics, as two successful application realms of network science, are usually investigated separately. How do they affect each other is still one open, interesting problem. In this letter, we couple both…
The power of networks manifests itself in a highly non-linear amplification of a number of effects, and their weakness - in propagation of cascading failures. The potential systemic risk effects can be either exacerbated or mitigated,…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
Analytical description of propagation phenomena on random networks has flourished in recent years, yet more complex systems have mainly been studied through numerical means. In this paper, a mean-field description is used to coherently…
How do networks of relationships evolve over time? We analyse a dataset tracking the social interactions of 900 individuals over four years. Despite continuous shifts in individual relationships, the macroscopic structural properties of the…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
The work presented in this thesis concerns different aspects of dynamical processes on networks. The first subject considered is the theoretical modeling of exploration processes of complex networks, such as the ``traceroute'' process used…
In this paper, we explore the reduction of functionality in a complex system as a consequence of cumulative random damage and imperfect reparation, a phenomenon modeled as a dynamical process on networks. We analyze the global…
We undertake a fundamental study of network equilibria modeled as solutions of fixed point equations for monotone linear functions with saturation nonlinearities. The considered model extends one originally proposed to study systemic risk…
There is empirical evidence from a range of disciplines that as the connectivity of a network increases, we observe an increase in the average fitness of the system. But at the same time, there is an increase in the proportion of…
We study the effects of animal social networks with a weighted pattern of interactions on the flocking transition exhibited by models of self-organized collective motion. Considering a model representing dynamics on a one-dimensional…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…