Related papers: Dynamic Network Risk
Modelling systems with networks has been a powerful approach to tame the complexity of several phenomena. Unfortunately, such an approach is often made difficult by the large number of variables to take into consideration. Methods of…
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…
This paper deals with the detection and prediction of losses due to cyber attacks waged on vital networks. The accumulation of losses to a network during a series of attacks is modeled by a 2-dimensional monotone random walk process as…
The prediction of both the existence and weight of network links at future time points is essential as complex networks evolve over time. Traditional methods, such as vector autoregression and factor models, have been applied to small,…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a…
The problem of predicting links in large networks is an important task in a variety of practical applications, including social sciences, biology and computer security. In this paper, statistical techniques for link prediction based on the…
In spite of a few attempts in understanding the dynamical robustness of complex networks, this extremely important subject of research is still in its dawn as compared to the other dynamical processes on networks. We hereby consider the…
Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…
Dynamic network analysis has found an increasing interest in the literature because of the importance of different kinds of dynamic social networks, biological networks, and economic networks. Most available probability and statistical…
We review the theory of loss networks, including recent results on their dynamical behaviour. We give also some new results.
Portfolio construction traditionally relies on separately estimating expected returns and covariance matrices using historical statistics, often leading to suboptimal allocation under time-varying market conditions. This paper proposes a…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
We propose stochastic control policies to cope with uncertain and variable gas extractions in natural gas networks. Given historical gas extraction data, these policies are optimized to produce the real-time control inputs for nodal gas…
Recurrent neural networks and sequence to sequence models require a predetermined length for prediction output length. Our model addresses this by allowing the network to predict a variable length output in inference. A new loss function…
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…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
We review selected results related to robustness of networked systems in finite and asymptotically large size regimes, under static and dynamical settings. In the static setting, within the framework of flow over finite networks, we discuss…