Related papers: Reciprocity in Interbank Markets
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
Cooperation is observed widely in nature and is thought an essential component of many evolutionary processes, yet the mechanisms by which it arises and persists are still unclear. Among several theories, network reciprocity -- a model of…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
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…
A key issue in complex systems regards the relationship between topology and dynamics. In this work, we use a recently introduced network property known as steering coefficient as a means to approach this issue with respect to different…
The contact structure between hosts has a critical influence on disease spread. However, most networkbased models used in epidemiology tend to ignore heterogeneity in the weighting of contacts. This assumption is known to be at odds with…
In this paper, we continue our analysis of spatial versions of agent-based models for the dynamics of money that have been introduced in the statistical physics literature, focusing on two models with debts. Both models consist of systems…
In this work, we investigate a simple nonequilibrium system with many interconnected, open subsystems, each exchanging a globally conserved resource with an external reserve. The system is represented by a random graph, where nodes…
Over the last two decades, network theory has shown to be a fruitful paradigm in understanding the organization and functioning of real-world complex systems. One technique helpful to this endeavor is identifying functionally influential…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party…
Exchangeable random graphs serve as an important probabilistic framework for the statistical analysis of network data. In this work we develop an alternative parameterization for a large class of exchangeable random graphs, where the nodes…
Random graphs are useful tools to study social interactions. In particular, the use of weighted random graphs allows to handle a high level of information concerning which agents interact and in which degree the interactions take place.…
Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose…
Empirical studies show that online social networks have not only in- and out-degree distributions with Pareto-like tails but also a high proportion of reciprocal edges. A classical directed preferential attachment (PA) model generates in-…
This paper proposes a simple procedure to decide whether the empirically-observed adjacency or weights matrix, which characterizes the graph underlying a socio-economic network, is sufficiently symmetric (respectively, asymmetric) to…
In this paper, we present new results on consensus for continuous-time multi- agent systems. We introduce the assumptions of persistent connectivity of the interaction graph and of slow divergence of reciprocal interaction weights.…
Networked structures arise in a wide array of different contexts such as technological and transportation infrastructures, social phenomena, and biological systems. These highly interconnected systems have recently been the focus of a great…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
This paper proposes a new one-sided matching market model in which every agent has a cost function that is allowed to take a negative value. Our model aims to capture the situation where some agents can profit by exchanging their obtained…