Related papers: Interaction uncertainty in financial networks
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Interactions between pieces of information (entities) play a substantial role in the way an individual acts on them: adoption of a product, the spread of news, strategy choice, etc. However, the underlying interaction mechanisms are often…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
Social dynamics is concerned primarily with interactions among individuals and the resulting group behaviors, modeling the temporal evolution of social systems via the interactions of individuals within these systems. In particular, the…
The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…
We propose a unified theoretical framework for quantifying spatio-temporal interactions in a stochastic dynamical system based on information geometry. In the proposed framework, the degree of interactions is quantified by the divergence…
The style of mathematical models known to probabilists as Interacting Particle Systems and exemplified by the Voter, Exclusion and Contact processes have found use in many academic disciplines. In many such disciplines the underlying…
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…
Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian…
When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
How can we model influence between individuals in a social system, even when the network of interactions is unknown? In this article, we review the literature on the "influence model," which utilizes independent time series to estimate how…
The aim of this paper is to study the derivation of appropriate meso- and macroscopic models for interactions as appearing in social processes. There are two main characteristics the models take into account, namely a network structure of…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Social movements, neurons in the brain or even industrial suppliers are best described by agents evolving on networks with basic interaction rules. In these real systems, the connectivity between agents corresponds to the a critical state…
Many economic activities are embedded in networks: sets of agents and the (often) rivalrous relationships connecting them to one another. Input sourcing by firms, interbank lending, scientific research, and job search are four examples,…
The advent and proliferation of social media have led to the development of mathematical models describing the evolution of beliefs/opinions in an ecosystem composed of socially interacting users. The goal is to gain insights into…
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…
Social interactions influence people's opinions. In some situations, these interactions eventually yield a consensus opinion; in others, they can lead to opinion fragmentation and the formation of different opinion groups in the form of…