Related papers: Cyber risk modeling using a two-phase Hawkes proce…
The nature of information security has been, and probably will continue to be, marked by the asymmetric competition of attackers and defenders over the control of an uncertain environment. The reduction of this degree of uncertainty via an…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…
Exploring the internal mechanism of information spreading is critical for understanding and controlling the process. Traditional spreading models often assume individuals play the same role in the spreading process. In reality, however,…
Hawkes Processes are a type of point process for modeling self-excitation, i.e., when the occurrence of an event makes future events more likely to occur. The corresponding self-triggering function of this type of process may be inferred…
Mutations sometimes increase contagiousness for evolving pathogens. During an epidemic, scientists use viral genome data to infer a shared evolutionary history and connect this history to geographic spread. We propose a model that directly…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
In the context of epidemic spreading, many intricate dynamical patterns can emerge due to the cooperation of different types of pathogens or the interaction between the disease spread and other failure propagation mechanism. To unravel such…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
Recent research has focused on the monitoring of global-scale online data for improved detection of epidemics, mood patterns, movements in the stock market, political revolutions, box-office revenues, consumer behaviour and many other…
Cybercrime is estimated to cost the global economy almost \$10 trillion annually and with businesses and governments reporting an ever-increasing number of successful cyber-attacks there is a growing demand to rethink the strategy towards…
Hawkes process are very popular mathematical tools for modelling phenomena exhibiting a \textit{self-exciting} or \textit{self-correcting} behaviour. Typical examples are earthquakes occurrence, wild-fires, drought, capture-recapture, crime…
Modeling the popularity dynamics of an online item is an important open problem in computational social science. This paper presents an in-depth study of popularity dynamics under external promotions, especially in predicting popularity…
The threshold model has been widely adopted as a classic model for studying contagion processes on social networks. We consider asymmetric individual interactions in social networks and introduce a persuasion mechanism into the threshold…
We study the efficacy of strategies aimed at controlling the spread of deception-based cyber-threats unfolding on online social networks. We model directed and temporal interactions between users using a family of activity-driven networks…
Quantifying influence in networks is important across science, economics, and public health, yet widely used centrality measures remain limited: they rely on static representations, heuristic network constructions, and purely endogenous…
As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
In this paper, a novel cyber-insurance model design is proposed based on system risk evaluation with smart technology applications. The cyber insurance policy for power systems is tailored via cyber risk modeling, reliability impact…