Related papers: Cyber risk modeling using a two-phase Hawkes proce…
Industrial Control Systems (ICSs) are widely used in critical infrastructures that face various cyberattacks causing physical damage. With the increasing integration of the ICSs and information technology (IT), ensuring the security of ICSs…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Adoption of innovations, products or online services is commonly interpreted as a spreading process driven to large extent by social influence and conditioned by the needs and capacities of individuals. To model this process one usually…
We introduce the Hyperedge-triggered Hawkes (HTH) process for inferring higher-order interaction structure in multi-cellular systems from asynchronous event-time data. Beyond standard pairwise excitation, the HTH intensity includes a term…
Temporal networks observed continuously over time through timestamped relational events data are commonly encountered in application settings including online social media communications, financial transactions, and international relations.…
Recent incidents of data breaches call for organizations to proactively identify cyber attacks on their systems. Darkweb/Deepweb (D2web) forums and marketplaces provide environments where hackers anonymously discuss existing vulnerabilities…
Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…
The Hawkes process (HP) has been widely applied to modeling self-exciting events including neuron spikes, earthquakes and tweets. To avoid designing parametric triggering kernel and to be able to quantify the prediction confidence, the…
The collective behaviour of people adopting an innovation, product or online service is commonly interpreted as a spreading phenomenon throughout the fabric of society. This process is arguably driven by social influence, social learning…
In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyber events provided by Advisen. We seek to address two core…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB…
In the wake of the arrival of digital media, the Internet, the web, and online social media, a flood of new cyber security research questions have emerged. There is a lot of money being lost around the world because of cyber-attacks. As a…
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
A complex contagion is an infectious process in which individuals may require multiple transmissions before changing state. These are used to model behaviors if an individual only adopts a particular behavior after perceiving a consensus…
We extract firms' cyber risk with a machine learning algorithm measuring the proximity between their disclosures and a dedicated cyber corpus. Our approach outperforms dictionary methods, uses full disclosure and not devoted-only sections,…
Many networks have event-driven dynamics (such as communication, social media and criminal networks), where the mean rate of the events occurring at a node in the network changes according to the occurrence of other events in the network.…
In big data systems, the infrastructure is such that large amounts of data are hosted away from the users. In such a system information security is considered as a major challenge. From a customer perspective, one of the big risks in…
Forecasting the degradation of coated materials has long been a topic of critical interest in engineering, as it has enormous implications for both system maintenance and sustainable material use. Material degradation is affected by many…