Related papers: Systemic Risk in a Unifying Framework for Cascadin…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
Ideas, behaviors, and opinions spread through social networks. If the probability of spreading to a new individual is a non-linear function of the fraction of the individuals' affected neighbors, such a spreading process becomes a "complex…
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…
We live in a modern world supported by large, complex networks. Examples range from financial markets to communication and transportation systems. In many realistic situations the flow of physical quantities in the network, as characterized…
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…
We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a top-down framework where a shock to one bank in the system…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
There is a commonality among contagious diseases, tweets, urban crimes, nuclear reactions, and neuronal firings that past events facilitate the future occurrence of events. The spread of events has been extensively studied such that the…
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…
Information and individual activities often spread globally through the network of social ties. While social contagion phenomena have been extensively studied within the framework of threshold models, it is common to make an assumption that…
In the past few decades, the frequency of pandemics has been increased due to the growth of urbanization and mobility among countries. Since a disease spreading in one country could become a pandemic with a potential worldwide humanitarian…
We develop a framework for studying and quantifying the risk of cascading failures in time-delay consensus networks, motivated by a team of agents attempting temporal rendezvous under stochastic disturbances and communication delays. To…
The collapse of interdependent networks, as well as similar avalanche phenomena, is driven by cascading failures. At the critical point, the cascade begins as a critical branching process, where each failing node (element) triggers, on…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
In this paper we study a simple cascading process in a structured heterogeneous population, namely, a network composed of two loosely coupled communities. We demonstrate that under certain conditions the cascading dynamics in such a network…
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
In many cases of attacks or failures, memory effects play a significant role. Therefore, we present a model that not only considers the dependencies between nodes but also incorporates the memory effects of attacks. Our research…
This paper presents a complex systems overview of a power grid network. In recent years, concerns about the robustness of the power grid have grown because of several cascading outages in different parts of the world. In this paper,…
A networked system can fail when most of its components are unable to support flux through the nodes and edges. As studied earlier this scenario can be triggered by an external perturbation such as an intentional attack on nodes or for…
We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…