相关论文: Contagion in an interacting economy
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
Two versions of the susceptible-infected-susceptible epidemic model, which have different transmission rules, are analysed. Both models are considered on a weighted network to simulate a mitigation in the connection between the individuals.…
Groups of enterprises can serve as guarantees for one another and form complex networks when obtaining loans from commercial banks. During economic slowdowns, corporate default may spread like a virus and lead to large-scale defaults or…
A problem closely related to epidemiology, where a subgraph of 'infected' links is defined inside a larger network, is investigated. This subgraph is generated from the underlying network by a random variable, which decides whether a link…
We present some ideas on how to extend a kinetic type model for crowd dynamics to account for an infectious disease spreading. We focus on a medium size crowd occupying a confined environment where the disease is easily spread. The kinetic…
Most epidemic processes on networks can be modelled by a compartmental model, that specifies the spread of a disease in a population. The corresponding compartmental graph describes how the viral state of the nodes (individuals) changes…
In this paper, we continue our analysis of spatial versions of agent-based models for the dynamics of money that have been introduced in the statistical physics literature, focusing on two models with debts. Both models consist of systems…
In this paper we study a discrete-time SIS (susceptible-infected-susceptible) model, where the infection and healing parameters and the underlying network may change over time. We provide conditions for the model to be well-defined and…
The study of social networks, and in particular the spread of disease on networks, has attracted considerable recent attention in the physics community. In this paper, we show that a large class of standard epidemiological models, the…
This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase…
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…
An approach is developed for analyzing computer networks to identify systems and accounts that are at particular risk of compromise by an adversary seeking to move laterally through the network via authentication. The dynamics of the…
When an infection spreads in a community, an individual's probability of becoming infected depends on both her susceptibility and exposure to the contagion through contact with others. While one often has knowledge regarding an individual's…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…
Graphical models use the intuitive and well-studied methods of graph theory to implicitly represent dependencies between variables in large systems. They can model the global behaviour of a complex system by specifying only local factors.…
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…
We consider the contact process on the model of hyperbolic random graph, in the regime when the degree distribution obeys a power law with exponent $\chi \in(1,2)$ (so that the degree distribution has finite mean and infinite second…