Related papers: Cyber risk modeling using a two-phase Hawkes proce…
As corporates and governments become more digital, they become vulnerable to various forms of cyber attack. Cyber insurance products have been used as risk management tools, yet their pricing does not reflect actual risk, including that of…
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…
The contagion dynamics can emerge in social networks when repeated activation is allowed. An interesting example of this phenomenon is retweet cascades where users allow to re-share content posted by other people with public accounts. To…
Cyber risk has become a critical financial threat in today's interconnected digital economy. This paper introduces a cyber-risk management framework for networked digital systems that combines the strategic behavior of players with…
Among the statistical tools for online information diffusion modeling, both epidemic models and Hawkes point processes are popular choices. The former originate from epidemiology, and consider information as a viral contagion which spreads…
Cascading chains of events are a salient feature of many real-world social, biological, and financial networks. In social networks, social reciprocity accounts for retaliations in gang interactions, proxy wars in nation-state conflicts, or…
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, capturing the empirically relevant feature of clustering in…
In our more and more interconnected world, a specific risk is that of a cyber-epidemic (or cyber-pandemic), produced either accidentally or intentionally, where a cyber virus propagates from device to device up to undermining the global…
Sequences of events including infectious disease outbreaks, social network activities, and crimes are ubiquitous and the data on such events carry essential information about the underlying diffusion processes between communities (e.g.,…
Crowdfunding is a powerful tool for individuals or organizations seeking financial support from a vast audience. Despite widespread adoption, managers often lack information about dynamics of their platforms. Hawkes processes have been used…
Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
The event sequence of many diverse systems is represented as a sequence of discrete events in a continuous space. Examples of such an event sequence are earthquake aftershock events, financial transactions, e-commerce transactions, social…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
Event-driven systems in fields such as neuroscience, social networks, and finance often exhibit dynamics influenced by continuously evolving external covariates. Motivated by these applications, we introduce a new class of multivariate…
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard function of a defective random variable. This establishes a link…
The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…
Cyber risks are the most common risks encountered by a modern network system. However, it is significantly difficult to assess the joint cyber risk owing to the network topology, risk propagation, and heterogeneities of components. In this…
Events in an online social network can be categorized roughly into endogenous events, where users just respond to the actions of their neighbors within the network, or exogenous events, where users take actions due to drives external to the…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual-excitation effect. The…