Related papers: Cyber risk modeling using a two-phase Hawkes proce…
Complex contagions describe diffusion of behaviors in a social network in settings where spreading requires the influence by two or more neighbors. In a $k$-complex contagion, a cluster of nodes are initially infected, and additional nodes…
Advanced AI systems offer substantial benefits but also introduce risks. In 2025, AI-enabled cyber offense has emerged as a concrete example. This technical report applies a quantitative risk modeling methodology (described in full in a…
With the widespread use of software systems in critical infrastructures such as hydropower plants has brought many advantages, yet it has exposed these systems to cyber threats. Cyber risk assessment & mitigation is important to identify…
The assessment of cyber risk plays a crucial role for cybersecurity management, and has become a compulsory task for certain types of companies and organizations. This makes the demand for reliable cyber risk assessment tools continuously…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
There have been extensive efforts in government, academia, and industry to anticipate, forecast, and mitigate cyber attacks. A common approach is time-series forecasting of cyber attacks based on data from network telescopes, honeypots, and…
Fads, product adoption, mobs, rumors, memes, and emergent norms are diverse social contagions that have been modeled as network cascades. Empirical study of these cascades is vulnerable to what we describe as the "opacity problem": the…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Hawkes processes are point processes with self-exciting and clustering properties that are popular in applications. In recent years, renewal Hawkes processes have gained attention, due to their versatility such as the capability of…
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
We investigate the effects of cooperativity between contagion processes that spread and persist in a host population. We propose and analyze a dynamical model in which individuals that are affected by one transmissible agent $A$ exhibit a…
We propose a novel class of network models for temporal dyadic interaction data. Our goal is to capture a number of important features often observed in social interactions: sparsity, degree heterogeneity, community structure and…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Cyber-physical systems posit a complex number of security challenges due to interconnection of heterogeneous devices having limited processing, communication, and power capabilities. Additionally, the conglomeration of both physical and…
Spreading dynamics and complex contagion processes on networks are important mechanisms underlying the emergence of critical transitions, tipping points and other nonlinear phenomena in complex human and natural systems. Increasing amounts…
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By…
Fake news has emerged as a pervasive problem within Online Social Networks, leading to a surge of research interest in this area. Understanding the dissemination mechanisms of fake news is crucial in comprehending the propagation of…