相关论文: Reconstruction of Interbank Network using Ridge En…

When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential insolvency cascades. In this paper, we show…

We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…

Cortical networks are hypothesized to rely on transient network activity to support short term memory (STM). In this paper we study the capacity of randomly connected recurrent linear networks for performing STM when the input signals are…

In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…

The modeling and reconstruction of economic networks from aggregate information has important implications for counterfactual analysis and policymaking. The traditional Fitness Model (FM) achieves good performance by using node-specific…

Empirical data on real complex systems are becoming increasingly available. Parallel to this is the need for new methods of reconstructing (inferring) the topology of networks from time-resolved observations of their node-dynamics. The…

Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…

Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian…

The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards…

The structure of the network can be described by motifs, which are subgraphs that often repeat themselves. In order to understand the structure of network motifs, it is of great importance to study subgraphs from the perspective of…

Network (or graph) sparsification compresses a graph by removing inessential edges. By reducing the data volume, it accelerates or even facilitates many downstream analyses. Still, the accuracy of many sparsification methods, with…

Repeating patterns of spike sequences from a neuronal network have been proposed to be useful in the reconstruction of the network topology. Reverberations in a physiologically realistic model with various physical connection topologies…

Real-world networks are sparse. As we show in this article, even when a large number of interactions is observed, most node pairs remain disconnected. We demonstrate that classical multi-edge network models, such as the $G(N,p)$,…

In the Network Inference problem, one seeks to recover the edges of an unknown graph from the observations of cascades propagating over this graph. In this paper, we approach this problem from the sparse recovery perspective. We introduce a…

The demand for resilient logistics networks has increased because of recent disasters. When we consider optimization problems, entropy regularization is a powerful tool for the diversification of a solution. In this study, we proposed a…

A debt swap is an elementary edge swap in a directed, weighted graph, where two edges with the same weight swap their targets. Debt swaps are a natural and appealing operation in financial networks, in which nodes are banks and edges…

Restoring operation of critical infrastructure systems after catastrophic events is an important issue, inspiring work in multiple fields, including network science, civil engineering, and operations research. We consider the problem of…

We analyze a coupled anonymized dataset collecting the mobile phone communication and bank transactions history of a large number of individuals. After mapping the social structure and introducing indicators of socioeconomic status,…

Reconstructing a gene network from high-throughput molecular data is often a challenging task, as the number of parameters to estimate easily is much larger than the sample size. A conventional remedy is to regularize or penalize the model…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…