Related papers: Sharp Transitions and Systemic Risk in Sparse Fina…
Long-range interactions are essential for the correct description of complex systems in many scientific fields. The price to pay for including them in the calculations, however, is a dramatic increase in the overall computational costs.…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
The spread of a connected graph G was introduced by Alon, Boppana and Spencer (1998) and measures how tightly connected the graph is. It is defined as the maximum over all Lipschitz functions f on V(G) of the variance of f(X) when X is…
We study the problem of parameter estimation based on infection data from an epidemic outbreak on a graph. We assume that successive infections occur via contagion; i.e., transmissions can only spread across existing directed edges in the…
Stochastic infection processes are continuous-time Markov chains on graphs that assign each vertex one of multiple states, such as susceptible, infected, or recovered. Depending on the model, vertices change their state based on random…
We consider propagation models that describe the spreading of an attribute, called "damage", through the nodes of a random network. In some systems, the average fraction of nodes that remain undamaged vanishes in the large system limit, a…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
Cascade processes are responsible for many important phenomena in natural and social sciences. Simple models of irreversible dynamics on graphs, in which nodes activate depending on the state of their neighbors, have been successfully…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network…
We study large-scale systems operating under the JSQ$(d)$ policy in the presence of stringent task-server compatibility constraints. Consider a system with $N$ identical single-server queues and $M(N)$ task types, where each server is able…
A random graph model with prescribed degree distribution and degree dependent edge weights is introduced. Each vertex is independently equipped with a random number of half-edges and each half-edge is assigned an integer valued weight…
We consider three different models of sparse random graphs:~undirected and directed Erd\H{o}s-R\'{e}nyi graphs, and random bipartite graph with an equal number of left and right vertices. For such graphs we show that if the edge…
We employ the mathematical programming approach in conjunction with the graph theory to study the structure of correspondent banking networks. Optimizing the network requires decisions to be made to onboard, terminate or restrict the bank…
Empirical measures of financial connectedness based on Forecast Error Variance Decompositions (FEVDs) often yield dense network structures that obscure true transmission channels and complicate the identification of systemic risk. This…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
Internet finance is a new financial model that applies Internet technology to payment, capital borrowing and lending and transaction processing. In order to study the internal risks, this paper uses the Internet financial risk elements as…
Information diffusion in social networks facilitates rapid and large-scale propagation of content. However, spontaneous diffusion behavior could also lead to the cascading of sensitive information, which is neglected in prior arts. In this…
Empirical estimation of critical points at which complex systems abruptly flip from one state to another is among the remaining challenges in network science. However, due to the stochastic nature of critical transitions it is widely…