Related papers: Heterogeneity, correlations and financial contagio…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
Many naturally occurring networks have a power-law degree distribution as well as a non-zero degree correlation. Despite this, most studies analyzing the robustness to random node-deletion and vulnerability to targeted node-deletion have…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
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…
We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…
Current epidemics in the biological and social domains are challenging the standard assumptions of mathematical contagion models. Chief among them are the complex patterns of transmission caused by heterogeneous group sizes and infection…
This paper develops strategic foundations for an important statistical model of random networks with heterogeneous expected degrees. Based on this, we show how social networking services that subtly alter the costs and indirect benefits of…
There is a rich history of models for the interaction of a biological contagion like influenza with the spread of related information such as an influenza vaccination campaign. Recent work on the spread of interacting contagions on networks…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
The contagion threshold for diffusion of innovations is defined and calculated in finite graphs (two-dimensional regular lattices, regular random networks (RRNs), and two kinds of scale-free networks (SFNs)) with and without the bilingual…
The spread of information through socio-technical systems determines which individuals are the first to gain access to opportunities and insights. Yet, the pathways through which information flows can be skewed, leading to systematic…
Complex networks have been applied to model numerous interactive nonlinear systems in the real world. Knowledge about network topology is crucial for understanding the function, performance and evolution of complex systems. In the last few…
Bayesian hierarchical models are a methodology for aggregation and synthesis of data from heterogeneous settings, used widely in statistics and other disciplines. I apply this framework to the evidence from 7 randomized experiments of…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
In complex social systems encoded as hypergraphs, higher-order (i.e., group) interactions taking place among more than two individuals are represented by hyperedges. One of the higher-order correlation structures native to hypergraphs is…
Insight into how information can propagate within cortical networks is essential for a more complete understanding of neural dynamics and computation in complex networks. Networks with clustered connections have previously been shown to…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
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…