Related papers: Default Contagion, Matrix Approximation, and Contr…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

Fault detection has a long tradition: the necessity to provide the most accurate diagnosis possible for a process plant criticality is somehow intrinsic in its functioning. Continuous monitoring is a possible way for early detection.…

Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…

This article presents a novel class of control policies for networked control of Lyapunov-stable linear systems with bounded inputs. The control channel is assumed to have i.i.d. Bernoulli packet dropouts and the system is assumed to be…

We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…

We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…

Causal inference provides an analytical framework to identify and quantify cause-and-effect relationships among a network of interacting agents. This paper offers a novel framework for analyzing cascading failures in power transmission…

Time series graphical models have recently received considerable attention for characterizing (conditional) dependence structures in multivariate time series. In many applications, the multivariate series exhibit variable-partitioned…

This paper proposes a joint detection and estimation (JDE) scheme based on mutual information for the radar work, whose goal is to choose the true one between target existent and target absence, and to estimate the unknown distance…

We consider a basic model of a dynamical distribution network, modeled as a directed graph with storage variables corresponding to every vertex and flow inputs corresponding to every edge, subject to unknown but constant inflows and…

There is a rich history of models for the interaction of a biological contagion like influenza with the spread of related information such as an influenza vaccination campaign. Recent work on the spread of interacting contagions on networks…

A fundamental concept in control theory is that of controllability, where any system state can be reached through an appropriate choice of control inputs. Indeed, a large body of classical and modern approaches are designed for controllable…

Realistic networks display heterogeneous transmission delays. We analyze here the limits of large stochastic multi-populations networks with stochastic coupling and random interconnection delays. We show that depending on the nature of the…

Identifying influential nodes and edges in directed networks remains a fundamental challenge across domains from social influence to biological regulation. Most existing centrality measures face a critical limitation: they either discard…

This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…

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…

Although real-world complex systems typically interact through sparse and heterogeneous networks, analytic solutions of their dynamics are limited to models with all-to-all interactions. Here, we solve the dynamics of a broad range of…

In this paper, we study cascading failures in power grids through the lens of information diffusion models. Similar to the spread of rumors or influence in an online social network, it has been observed that failures (outages) in a power…

Causal effect estimation in networked systems is central to data-driven decision making. In such settings, interventions on one unit can spill over to others, and in complex physical or social systems, the interaction pathways driving these…

We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…