Related papers: Contagion or Macroeconomic Fluctuations? Identifia…
The adoption of individual behavioural patterns is largely determined by stimuli arriving from peers via social interactions or from external sources. Based on these influences, individuals are commonly assumed to follow simple or complex…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Threshold-driven models and game theory are two fundamental paradigms for describing human interactions in social systems. However, in mimicking social contagion processes, models that simultaneously incorporate these two mechanisms have…
If model identifiability is not confirmed, inferences from infectious disease transmission models may not be reliable, so they might lead to misleading recommendations. Structural identifiability analysis characterizes whether it is…
In an increasingly interconnected world, a key scientific challenge is to examine mechanisms that lead to the widespread propagation of contagions, such as misinformation and pathogens, and identify risk factors that can trigger large-scale…
We consider processes on social networks that can potentially involve three factors: homophily, or the formation of social ties due to matching individual traits; social contagion, also known as social influence; and the causal effect of an…
Contagion processes, representing the spread of infectious diseases, information, or social behaviors, are often schematized as taking place on networks, which encode for instance the interactions between individuals. The impact of the…
Complex contagion models that involve contagion along higher-order structures, such as simplicial complexes and hypergraphs, yield new classes of mean-field models. Interestingly, the differential equations arising from many such models…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
Typically, contagion strength is modeled by a transmission rate $\lambda$, whereby all nodes in a network are treated uniformly in a mean-field approximation. However, local agents react differently to the same contagion based on their…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
The purpose of this paper is to analyze the mechanism for the interplay of deterministic and stochastic models for contagious diseases. Deterministic models for contagious diseases are prone to predict global stability. Small natural birth…
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
We investigate the effects of cooperativity between contagion processes that spread and persist in a host population. We propose and analyze a dynamical model in which individuals that are affected by one transmissible agent $A$ exhibit a…
Assessing the practical identifiability of epidemic models is essential for determining whether parameters can be meaningfully estimated from observed data. Monte Carlo (MC) methods provide an accessible and intuitive framework; however,…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth processes on these graphs: diffusion and…
Infectious disease transmission in human populations has a complex two-way interaction with changes in host behaviour. It is increasingly recognised that incorporating adaptive behavioural change into epidemic models is important for…
Contagion effect refers to the causal effect of peers' behavior on the outcome of an individual in social networks. Contagion can be confounded due to latent homophily which makes contagion effect estimation very hard: nodes in a homophilic…