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Network valuation in financial systems

PBP. BaruccaMBM. BardosciaGCG. CaldarelliFCMDGVSB Mathematical Finance

Network valuation in financial systems

Consistent valuation of interbank claims within an interconnected financial system can be found with a recursive update of banks' equities.

Degree-correlations in a bursting dynamic network model

PBP. BaruccaFV Journal of Economic Interaction and Coordination

Degree-correlations in a bursting dynamic network model

The temporal bipartite target network.

Exactly solvable model of memristive circuits: Lyapunov functional and mean field theory

FCF. CaravelliPBP. Barucca European Physical Journal B

Exactly solvable model of memristive circuits: Lyapunov functional and mean field theory

In this paper we sketch a general methodology for studying the phase diagram of memristive circuits.

Tackling information asymmetry in networks: a new entropy-based ranking index

PBP. BaruccaGCG. CaldarelliTS Journal of Statistical Physics

Tackling information asymmetry in networks: a new entropy-based ranking index

Toy network, whose nodes have been ranked according to InfoRank.

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3 PLOS ONE

Resolution of ranking hierarchies in directed networks

Identifying ranking hierarchies in complex networks is of paramount importance in many disciplines and applications

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2 Computational Management Science

The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

A sudden change of banks' strategies took place after the Long Term Refinancing Operations initiated by the European Central Banks.

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4 Journal of Physics A: Mathematical and Theoretical

Exactly solvable random graph ensemble with extensively many short cycles

Controlling analytically second or higher-order properties of networks is a great mathematical challenge.

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3 Journal of Computational Social Science

Network models of financial systemic risk: a review

Stylized balance sheet of a bank

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1 Physical Review E

Spectral partitioning

The spectral density of graph ensembles provides an exact solution to the graph partitioning problem and helps detect community structure.

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4 Journal of Statistical Mechanics: Theory and Experiment

Disentangling group and link persistence in Dynamic Stochastic Block models

We present a new way of finding communities in networks that change over time.