Related papers: Interbank network reconstruction enforcing density…

The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…

Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…

When studying social, economic and biological systems, one has often access to only limited information about the structure of the underlying networks. An example of paramount importance is provided by financial systems: information on the…

In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…

The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…

Reconstructing weighted networks from partial information is necessary in many important circumstances, e.g. for a correct estimation of systemic risk. It has been shown that, in order to achieve an accurate reconstruction, it is crucial to…

Many complex systems change their structure over time, in these cases dynamic networks can provide a richer representation of such phenomena. As a consequence, many inference methods have been generalized to the dynamic case with the aim to…

Accessing the network through which a propagation dynamics diffuse is essential for understanding and controlling it. In a few cases, such information is available through direct experiments or thanks to the very nature of propagation data.…

All types of networks arise as intricate combinations of dyadic building blocks formed by pairs of vertices. In directed networks, the dyadic patterns are entirely determined by reciprocity, i.e. the tendency to form, or to avoid, mutual…

We develop a network reconstruction model based on entropy maximization considering the sparsity of networks. We reconstruct the interbank network in Japan from financial data in individual banks' balance sheets using the developed…

Reciprocity--the tendency of individuals to form mutual ties--is a fundamental structural feature of many directed networks. Despite its ubiquity, reciprocity remains insufficiently integrated into statistical network models, particularly…

Directed links -- representing asymmetric social ties or interactions (e.g., "follower-followee") -- arise naturally in many social networks and other complex networks, giving rise to directed graphs (or digraphs) as basic topological…

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…

Network topology plays a key role in many phenomena, from the spreading of diseases to that of financial crises. Whenever the whole structure of a network is unknown, one must resort to reconstruction methods that identify the least biased…

We address the problem of link reciprocity, the non-random presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation…

Node similarity is a significant property driving the growth of real networks. In this paper, based on the observed spreading results we apply the node similarity metrics to reconstruct propagation networks. We find that the reconstruction…

Due to the interconnectedness of financial entities, estimating certain key properties of a complex financial system (e.g. the implied level of systemic risk) requires detailed information about the structure of the underlying network.…

We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral…

Asymmetric relational data is increasingly prevalent across diverse fields, underscoring the need for directed network models to address the complex challenges posed by their unique structures. Unlike undirected models, directed models can…

The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…