Related papers: Heterogeneity, correlations and financial contagio…
We investigate the effects of heterogeneous and clustered contact patterns on the timescale and final size of infectious disease epidemics. The abundance of transitive relationships (the number of 3 cliques) in a network and the variance of…
We study a family of binary state, socially-inspired contagion models which incorporate imitation limited by an aversion to complete conformity. We uncover rich behavior in our models whether operating with either probabilistic or…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are…
Social networks affect the diffusion of information, and thus have the potential to reduce or amplify inequality in access to opportunity. We show empirically that social networks often exhibit a much larger potential for unequal diffusion…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…
Recent empirical studies have confirmed the key roles of complex contagion mechanisms such as memory, social reinforcement, and decay effects in information diffusion and behaviour spreading. Inspired by this fact, we here propose a new…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
It appeared recently that the underlying degree distribution of networks may play a crucial role concerning their robustness. Empiric and analytic results have been obtained, based on asymptotic and mean-field approximations. Previous work…
As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Models of threshold driven contagion explain the cascading spread of information, behavior, systemic risk, and epidemics on social, financial and biological networks. At odds with empirical observation, these models predict that…
Network structure can affect when and how widely new ideas, products, and behaviors are adopted. In widely-used models of biological contagion, interventions that randomly rewire edges (on average making them "longer") accelerate spread.…
We present the mathematical analysis of generalized complex contagions in clustered multiplex networks for susceptible-infected-recovered (SIR)-like dynamics. The model is intended to understand diffusion of influence, or any other…
The spread of ideas, behaviors, and technologies generally depends on feedback mechanisms operating across multiple scales. Previous studies have extensively examined pairwise transmission and local reinforcement. However, the role of…
Correlations may affect propagation processes on complex networks. To analyze their effect, it is useful to build ensembles of networks constrained to have a given value of a structural measure, such as the degree-degree correlation $r$,…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
We study proliferation of an action in binary action network coordination games that are generalized to include global effects. This captures important aspects of proliferation of a particular action or narrative in online social networks,…
Exploring the internal mechanism of information spreading is critical for understanding and controlling the process. Traditional spreading models often assume individuals play the same role in the spreading process. In reality, however,…