Related papers: A framework for analyzing contagion in banking net…
We derive analytic expressions for the possibility, probability, and expected size of global spreading events starting from a single infected seed for a broad collection of contagion processes acting on random networks with both directed…
Localized perturbations in a real-world network have the potential to trigger cascade failures at the whole system level, hindering its operations and functions. Standard approaches analytically tackling this problem are mostly based either…
This study extends the Gai-Kapadia framework, originally developed for interbank contagion, to assess systemic risk and default cascades in global equity markets. We analyze a 30 asset network comprising Brazilian and developed market…
The problem of reliability of a large distributed system is analyzed via a new mathematical model. A typical framework is a system where a set of files are duplicated on several data servers. When one of these servers breaks down, all…
By generating the specifics of a network structure only when needed (on-the-fly), we derive a simple stochastic process that exactly models the time evolution of susceptible-infectious dynamics on finite-size networks. The small number of…
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. We first make a quick but extensive review…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…
This paper re-introduces the network reliability polynomial - introduced by Moore and Shannon in 1956 -- for studying the effect of network structure on the spread of diseases. We exhibit a representation of the polynomial that is…
This study pioneers the application of the Gai-Kapadia framework, originally developed for interbank contagion, to global equity markets. It offers a novel approach to assess systemic risk and default cascades. Using a 20-asset network (13…
Social and biological contagions are influenced by the spatial embeddedness of networks. Historically, many epidemics spread as a wave across part of the Earth's surface; however, in modern contagions long-range edges -- for example, due to…
The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…
In the study of dynamical processes on networks, there has been intense focus on network structure -- i.e., the arrangement of edges and their associated weights -- but the effects of the temporal patterns of edges remains poorly…
We propose a novel measure of degree heterogeneity, for unweighted and undirected complex networks, which requires only the degree distribution of the network for its computation. We show that the proposed measure can be applied to all…
We employ the mathematical programming approach in conjunction with the graph theory to study the structure of correspondent banking networks. Optimizing the network requires decisions to be made to onboard, terminate or restrict the bank…
In this paper we present an analytic study of sampled networks in the case of some important shortest-path sampling models. We present analytic formulas for the probability of edge discovery in the case of an evolving and a static network…
Though the studies of social contagions are regularly borrowing network models to study the propagation of social influences and opinions to include social heterogeneity. Such studies provide valuable insights regarding these, but the…
We study a network formation game where agents receive benefits by forming connections to other agents but also incur both direct and indirect costs from the formed connections. Specifically, once the agents have purchased their…
We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…