Related papers: Contagion or Macroeconomic Fluctuations? Identifia…
Dependent survival data arise in many contexts. One context is clustered survival data, where survival data are collected on clusters such as families or medical centers. Dependent survival data also arise when multiple survival times are…
The spread of ideas, behaviors, and technologies generally depends on feedback mechanisms operating across multiple scales. Previous studies have extensively examined pairwise transmission and local reinforcement. However, the role of…
Networks of person-person contacts form the substrate along which infectious diseases spread. Most network-based studies of the spread focus on the impact of variations in degree (the number of contacts an individual has). However, other…
Contagion models are a primary lens through which we understand the spread of information over social networks. However, simple contagion models cannot reproduce the complex features observed in real-world data, leading to research on more…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk…
When modeling the dynamics of infectious disease, the incorporation of contact network information allows for the capture of the non-randomness and heterogeneity of realistic contact patterns. Oftentimes, it is assumed that the underlying…
Social contagion has been studied in various contexts. Many instances of social contagion can be modeled as an infection process where a specific state (adoption of product, fad, knowledge, behavior, etc.) spreads from individual to…
The assumption that data samples are independent and identically distributed (iid) is standard in many areas of statistics and machine learning. Nevertheless, in some settings, such as social networks, infectious disease modeling, and…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…
This article explores mathematical models for understanding the evolution of contagious diseases. The most widely known set of models are the compartmental ones, which are based on a set of differential equations. But these are not the only…
Predictive contagion models are ubiquitous in epidemiology, social sciences, engineering, and management. This paper formulates a prescriptive contagion analytics model where a decision-maker allocates shared resources across multiple…
The evolution of network structure and the spreading of epidemic are common coexistent dynamical processes. In most cases, network structure is treated either static or time-varying, supposing the whole network is observed in a same time…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
Yet often neglected, dynamical interdependencies between concomitant contagion processes can alter their intrinsic equilibria and bifurcations. A particular case of interest for disease control is the emergence of explosive transitions in…
Contagious processes, such as spread of infectious diseases, social behaviors, or computer viruses, affect biological, social, and technological systems. Epidemic models for large populations and finite populations on networks have been…
Dynamic properties of spreading infection through a heterogeneous population are studied numerically and analytically using a dynamic variant of Watts and Strogatz Small World Network-based stochastic Susceptible-Exposed-Infectious-Removed…
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback. Such systems are motivated by structural models for systemic…
We study binary state dynamics on a network where each node acts in response to the average state of its neighborhood. Allowing varying amounts of stochasticity in both the network and node responses, we find different outcomes in random…