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Complex contagions describe diffusion of behaviors in a social network in settings where spreading requires the influence by two or more neighbors. In a $k$-complex contagion, a cluster of nodes are initially infected, and additional nodes…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
An important aspect in jointly analysing networked control systems and their communication is to model the networking in a sufficiently rich but at the same time mathematically tractable way. As such, this paper improves on a recently…
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
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…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
In this brief, we study epidemic spreading dynamics taking place in complex networks. We specifically investigate the effect of synergy, where multiple interactions between nodes result in a combined effect larger than the simple sum of…
We develop a systemic risk framework to explore cascading systemic failures in networked control systems. A time-delayed version of the vehicle platooning problem is used as a benchmark to study the interplay among network connectivity,…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
A new upscaling procedure that provides 1D representations of 2D mixing-limited reactive transport systems is developed and applied. A key complication with upscaled models in this setting is that the procedure must differentiate between…
Criticality has been proposed as a key principle underlying complex behavior in biological and artificial systems; however, how criticality translates from individual dynamics to collective behavior remains unclear. We study this question…
This paper introduces a microscopic approach to model epidemics, which can explicitly consider the consequences of individual's decisions on the spread of the disease. We first formulate a microscopic multi-agent epidemic model where every…
While the presence of clustering in crime and security event data is well established, the mechanism(s) by which clustering arises is not fully understood. Both contagion models and history independent correlation models are applied, but…
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…
We study spreading processes in two-dimensional systems of heterogeneous active agents that exhibit different individual active speeds. We obtain, combining kinetic and complex network theory, an analytical expression for the spreading…
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized…
I study the spreading of infectious diseases on heterogeneous populations. I represent the population structure by a contact-graph where vertices represent agents and edges represent disease transmission channels among them. The population…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…