Related papers: Interaction uncertainty in financial networks
Face-to-face interaction networks describe social interactions in human gatherings, and are the substrate for processes such as epidemic spreading and gossip propagation. The bursty nature of human behavior characterizes many aspects of…
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…
Recent work in modeling the coupling between disease dynamics and dynamic social network geometry has led to the examination of how human interactions force a rewiring of connections in a population. Rewiring of the network may be…
Large quantities of data flow on the internet. When a user decides to help the spread of a piece of information (by retweeting, liking, posting content), most research works assumes she does so according to information's content,…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
This paper introduces a class of stochastic models of interacting neurons with emergent dynamics similar to those seen in local cortical populations, and compares them to very simple reduced models driven by the same mean excitatory and…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Interaction within small groups can often be represented as a sequence of events, where each event involves a sender and a recipient. Recent methods for modeling network data in continuous time model the rate at which individuals interact…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
An input-output approach to stability analysis is explored for networked systems with uncertain link dynamics. The main result consists of a collection of integral quadratic constraints, which together imply robust stability of the…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual information.…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
Social media is transforming various aspects of offline life, from everyday decisions such as dining choices to the progression of conflicts. In this study, we propose a coupled modelling framework with an online social network layer to…
Operational disruptions in retail payments can induce behavioral responses that outlast technical recovery and may amplify liquidity stress. We propose a multi-agent model linking card payment outages to trust dynamics, channel avoidance,…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear,…