Mitigating cascades in sandpile models: an immunization strategy for systemic risk?

A. Scala, V. Zlatić, G. Caldarelli, G. D’Agostino

Journal de Physique IV 225, 2017 (2016)

#risk#networks#finance

LQ placeholderCascades on a random graph

Cascades on a random graph

We use a simple model of distress propagation (the sandpile model) to show how financial systems are naturally subject to the risk of systemic failures. Taking into account possible network structures among financial institutions, we investigate if simple policies can limit financial distress propagation to avoid system-wide crises, i.e. to dampen systemic risk. We therefore compare different immunization policies (i.e. targeted helps to financial institutions) and find that the information coming from the network topology allows to mitigate systemic cascades by targeting just few institutions.

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From ecology to finance (and back?): a review on entropy-based null models for the analysis of bipartite networks

M. Straka, G. Caldarelli, T. Squartini, F. Saracco

Journal of Statistical Physics

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Network models of financial systemic risk: a review

F. Caccioli, P. Barucca, T. Kobayashi

Journal of Computational Social Science

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Pathways towards instability in financial networks

M. Bardoscia, S. Battiston, F. Caccioli, G. Caldarelli

Nature Communications

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Distress propagation in complex networks: the case of non-linear DebtRank

M. Bardoscia, F. Caccioli, J. Perotti, G. Vivaldo, G. Caldarelli

PLoS ONE

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Mitigating cascades in sandpile models: an immunization strategy for systemic risk?

A. Scala, V. Zlatić, G. Caldarelli, G. D’Agostino

Journal de Physique IV

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The price of complexity in financial networks

S. Battiston, G. Caldarelli, R. May, T. Roukny, J. Stiglitz

Proceedings of the National Academy of Sciences

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Network valuation in financial systems

P. Barucca, M. Bardoscia, F. Caccioli, M. D’Errico, G. Visentin, S. Battiston, G. Caldarelli

Sub. to Mathematical Finance

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DebtRank: a microscopic foundation for shock propagation

M. Bardoscia, S. Battiston, F. Caccioli, G. Caldarelli

PLOS ONE

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Memory effects in stock price dynamics: evidences of technical trading

F. Garzarelli, M. Cristelli, G. Pompa, A. Zaccaria, L. Pietronero

Scientific Reports

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Default cascades in complex networks: topology and systemic risk

T. Roukny, H. Bersini, H. Pirotte, G. Caldarelli, S. Battiston

Scientific Reports

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Evolution of controllability in interbank networks

D. Delpini, S. Battiston, M. Riccaboni, G. Gabbi, F. Pammolli, G. Caldarelli

Scientific Reports

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Reconstructing a credit network

G. Caldarelli, A. Chessa, F. Pammolli, A. Gabrielli, M. Puliga

Nature Physics

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Complex derivatives

S. Battiston, G. Caldarelli, C. Georg, R. May, J. Stiglitz

Nature Physics

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Bootstrapping topology and systemic risk of complex network using the fitness model

N. Musmeci, S. Battiston, G. Caldarelli, M. Puliga, A. Gabrielli

Journal of Statistical Physics

17 / 123 papers

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