Related papers: Sharp Transitions and Systemic Risk in Sparse Fina…
Weighted networks capture the structure of complex systems where interaction strength is meaningful. This information is essential to a large number of processes, such as threshold dynamics, where link weights reflect the amount of…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…
Random Threshold Networks with sparse, asymmetric connections show complex dynamical behavior similar to Random Boolean Networks, with a transition from ordered to chaotic dynamics at a critical average connectivity $K_c$. In this type of…
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
Epidemic spreading is well understood when a disease propagates around a contact graph. In a stochastic susceptible-infected-susceptible setting, spectral conditions characterise whether the disease vanishes. However, modelling human…
The spread of influence in social networks is studied in two main categories: the progressive model and the non-progressive model (see e.g. the seminal work of Kempe, Kleinberg, and Tardos in KDD 2003). While the progressive models are…
In this note we study the phase transition for percolation on quasi-transitive graphs with quasi-transitively inhomogeneous edge-retention probabilities. A quasi-transitive graph is an infinite graph with finitely many different "types" of…
We consider the task of estimating a network cascade as fast as possible. The cascade is assumed to spread according to a general Susceptible-Infected process with heterogeneous transmission rates from an unknown source in the network.…
The stress transfer mechanism from a polymer substrate to a nano-inclusion, such as a graphene flake, is of extreme interest for the production of effective nanocomposites. Previous work conducted mainly at the micron scale has shown that…
We study atypical behavior in bootstrap percolation on the Erd\H{o}s-R\'enyi random graph. Initially a set $S$ is infected. Other vertices are infected once at least $r$ of their neighbors become infected. Janson et al. (2012) locates the…
In this paper, we study a model of network adaptation mechanism to control spreading processes over switching contact networks, called adaptive susceptible-infected-susceptible model. The edges in the network model are randomly removed or…
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an endogenous rule for early defaults in…
In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk, this "skeleton" acts as the medium through which financial…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes…
Even though power-law or close-to-power-law degree distributions are ubiquitously observed in a great variety of large real networks, the mathematically satisfactory treatment of random power-law graphs satisfying basic statistical…
A finite ergodic Markov chain exhibits cutoff if its distance to equilibrium remains close to its initial value over a certain number of iterations and then abruptly drops to near 0 on a much shorter time scale. Originally discovered in the…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…