Related papers: Decomposing Global Bank Network Connectedness: Wha…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
We model the spreading of a crisis by constructing a global economic network and applying the Susceptible-Infected-Recovered (SIR) epidemic model with a variable probability of infection. The probability of infection depends on the strength…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
We explore a new variant of Small-World Networks (SWNs), in which an additional parameter ($r$) sets the length scale over which shortcuts are uniformly distributed. When $r=0$ we have an ordered network, whereas $r=1$ corresponds to the…
Identifying the multiple critical components in power systems whose absence together has severe impact on system performance is a crucial problem for power systems known as (N-x) contingency analysis. However, the inherent combinatorial…
In a network, a local disturbance can propagate and eventually cause a substantial part of the system to fail, in cascade events that are easy to conceptualize but extraordinarily difficult to predict. Here, we develop a statistical…
The ground state of an elastic interface in a disordered medium undergoes collective jumps upon variation of external parameters. These mesoscopic jumps are called shocks, or static avalanches. Submitting the interface to a parabolic…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We study on topological properties of global supply chain network in terms of degree distribution, hierarchical structure, and degree-degree correlation in the global supply chain network. The global supply chain data is constructed by…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
We study an extension of Duncan Watts' 2002 model of information cascades in social networks where edge weights are taken to be random, an innovation motivated by recent applications of cascade analysis to systemic risk in financial…
We consider the strongly connected components (SCCs) of a uniform directed graph on $n$ vertices with i.i.d. in- and out-degree pairs distributed as $(D^-,D^+)$, with $\mathbb E[D^+]=\mathbb E[D^-]=\mu$. We condition on equal total in- and…
The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper we introduce to this macroeconomic system the notion of…
We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effects in terms of average losses on another part of the market…
Security-constrained unit commitment (SCUC) model is used for power system day-ahead scheduling. However, current SCUC model uses a static network to deliver power and meet demand optimally. A dynamic network can provide a lower optimal…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these characteristics, this paper proposes Factor-Driven Network…
Prior research has shown that spectral decomposition of the reduced power flow Jacobian (RPFJ) can yield participation factors that describe the extent to which particular buses contribute to particular spectral components of a power…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…