Related papers: Systemic Cascades On Inhomogeneous Random Financia…
We propose a general model of unweighted and undirected networks having the scale-free property and fractal nature. Unlike the existing models of fractal scale-free networks (FSFNs), the present model can systematically and widely change…
Stochastic frontier models have attracted considerable attention due to the incorporation of an inefficiency term in addition to the conventional error term. In this paper, we propose a general estimation framework for panel stochastic…
We study identification and inference in nonlinear dynamic systems defined on unknown interaction networks. The system evolves through an unobserved dependence matrix governing cross-sectional shock propagation via a nonlinear operator. We…
Characterizing the emergence of chaotic dynamics of complex networks is an essential task in nonlinear science with potential important applications in many fields such as neural control engineering, microgrid technologies, and ecological…
Many real-world networks depend on other networks, often in non-trivial ways, to maintain their functionality. These interdependent "networks of networks" are often extremely fragile. When a fraction $1-p$ of nodes in one network randomly…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
We introduce a family of particle systems on sparse graphs where local interactions occur via hitting times, providing a dynamic and tractable model for default cascades in large sparsely-connected financial networks. Building on the…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
The spread of new beliefs, behaviors, conventions, norms, and technologies in social and economic networks are often driven by cascading mechanisms, and so are contagion dynamics in financial networks. Global behaviors generally emerge from…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in financial markets. We construct a structural multi-agent…
Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…
This study intends to present a representation of a pensions fund through a stochastic network with two infinite servers nodes. With this representation it is allowed to deduce an equilibrium condition of the system with basis on the…
Cascading failures are a critical vulnerability of complex information or infrastructure networks. Here we investigate the properties of load-based cascading failures in real and synthetic spatially-embedded network structures, and propose…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Cascade models based on dynamical complex networks are proposed as models of turbulent energy cascade. Taking a simple shell model as the initial regular lattice with only nearest neighbor interactions, small world network models are…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…