Related papers: Cyber risk modeling using a two-phase Hawkes proce…
One of the popular dynamics on complex networks is the epidemic spreading. An epidemic model describes how infections spread throughout a network. Among the compartmental models used to describe epidemics, the…
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
According to a study of The Standish Group International, 44% of software projects cost more and last longer than expected. More accurate the effort estimation is; the better the enterprise gets organized and the more the software project…
Modeling and analyzing security of networked systems is an important problem in the emerging Science of Security and has been under active investigation. In this paper, we propose a new approach towards tackling the problem. Our approach is…
In recent years, researchers have proposed \emph{cyber-insurance} as a suitable risk-management technique for enhancing security in Internet-like distributed systems. However, amongst other factors, information asymmetry between the insurer…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
Critically ill patients in regular wards are vulnerable to unanticipated adverse events which require prompt transfer to the intensive care unit (ICU). To allow for accurate prognosis of deteriorating patients, we develop a novel…
Binary-state models are those in which the constituent elements can only appear in two possible configurations. These models are fundamental in the mathematical treatment of a number of phenomena such as spin interactions in magnetism,…
The spread of invasive species to new areas threatens the stability of ecosystems and causes major economic losses in agriculture and forestry. We propose a novel approach to minimizing the spread of an invasive species given a limited…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
In an increasingly interconnected world, a key scientific challenge is to examine mechanisms that lead to the widespread propagation of contagions, such as misinformation and pathogens, and identify risk factors that can trigger large-scale…
We propose the first multistage intervention framework that tackles fake news in social networks by combining reinforcement learning with a point process network activity model. The spread of fake news and mitigation events within the…
With rise in security breaches over the past few years, there has been an increasing need to mine insights from social media platforms to raise alerts of possible attacks in an attempt to defend conflict during competition. In this study,…
Insider threats represent one of the most critical challenges in modern cybersecurity. These threats arise from individuals within an organization who misuse their legitimate access to harm the organization's assets, data, or operations.…
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…
Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and…
We study large time behavior of critical marked Hawkes processes and related branching particle systems. In case of marked Hawkes processes we assume that the kernel function has multiplicative form and the marks corresponding to the events…
There are two strategic and longstanding questions about cyber risk that organizations largely have been unable to answer: What is an organization's estimated risk exposure and how does its security compare with peers? Answering both…