Related papers: Cyber risk modeling using a two-phase Hawkes proce…

Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…

Cyber attacks are growing in frequency and severity. Over the past year alone we have witnessed massive data breaches that stole personal information of millions of people and wide-scale ransomware attacks that paralyzed critical…

Cyber risk refers to the risk of defacing reputation, monetary losses, or disruption of an organization or individuals, and this situation usually occurs by the unconscious use of cyber systems. The cyber risk is unhurriedly increasing day…

With a steadily growing population and rapid advancements in technology, the global economy is increasing in size and complexity. This growth exacerbates global vulnerabilities and may lead to unforeseen consequences such as global…

Studying models of cyber epidemics over arbitrary complex networks can deepen our understanding of cyber security from a whole-system perspective. In this paper, we initiate the investigation of cyber epidemic models that accommodate the…

This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…

The Hawkes process is used to model point process data where events occur in clusters and bursts. In a standard multivariate Hawkes process, every event that occurs in a dimension has an equal impact on the process intensity. However, this…

Recent high-profile cyber attacks exemplify why organizations need better cyber defenses. Cyber threats are hard to accurately predict because attackers usually try to mask their traces. However, they often discuss exploits and techniques…

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…

The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social media which can provide valuable insights to both academic…

Online boards offer a platform for sharing and discussing content, where discussion emerges as a cascade of comments in response to a post. Branching point process models offer a practical approach to modelling these cascades; however,…

Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…

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…

Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…

Event history data from sports competitions have recently drawn increasing attention in sports analytics to generate data-driven strategies. Such data often exhibit self-excitation in the event occurrence and dependence within event…

The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due…

We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…

This paper introduces a two-pillar cyber risk management framework to address the pervasive challenges in managing cyber risk. The first pillar, cyber risk assessment, combines insurance frequency-severity models with cybersecurity cascade…

The lack of high-quality public cyber incident data limits empirical research and predictive modeling for cyber risk assessment. This challenge persists due to the reluctance of companies to disclose incidents that could damage their…

The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…