Related papers: A framework for analyzing contagion in banking net…
Understanding the process by which a contagion disseminates throughout a network is of great importance in many real world applications. The required sophistication of the inference approach depends on the type of information we want to…
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…
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
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…
Understanding cascading processes on complex network topologies is paramount for modelling how diseases, information, fake news and other media spread. In this paper, we extend the multi-type branching process method developed in Keating et…
We introduce a class of generative network models that insert edges by connecting the starting and terminal vertices of a random walk on the network graph. Within the taxonomy of statistical network models, this class is distinguished by…
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…
Across the sciences, the statistical analysis of networks is central to the production of knowledge on relational phenomena. Because of their ability to model the structural generation of networks, exponential random graph models are a…
Networks facilitate the spread of cascades, allowing a local perturbation to percolate via interactions between nodes and their neighbors. We investigate how network structure affects the dynamics of a spreading cascade. By accounting for…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
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…
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…
Large but rare cascades triggered by small initial shocks are present in most of the infrastructure networks. Here we present a simple model for cascading failures based on the dynamical redistribution of the flow on the network. We show…
We introduce a novel framework for computing optimal randomized security policies in networked domains which extends previous approaches in several ways. First, we extend previous linear programming techniques for Stackelberg security games…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We investigate cascades in networks consisting of strategic agents with interdependent security. We assume that the strategic agents have choices between i) investing in protecting themselves, ii) purchasing insurance to transfer (some)…
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…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…