Causal motifs and existence of endogenous cascades in directed networks with application to company defaults (CROSBI ID 302048)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Barjašić, Irena ; Štefančić, Hrvoje ; Pribičević, Vedrana ; Zlatić, Vinko
engleski
Causal motifs and existence of endogenous cascades in directed networks with application to company defaults
Motivated by the detection of cascades of defaults in economy, we developed a detection framework for an endogenous spreading based on causal motifs we define in this paper. We assume that the change of state of a vertex can be triggered by an endogenous or an exogenous event, that the underlying network is directed and that times when vertices changed their states are available. In addition to the data of company defaults, we also simulate cascades driven by different stochastic processes on different synthetic networks. We show that some of the smallest motifs can robustly detect endogenous spreading events. Finally, we apply the method to the data of defaults of Croatian companies and observe the time window in which an endogenous cascade was likely happening.
inference on networks ; contact processes ; systemic risk and economic networks
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Podaci o izdanju
Trošak objave rada u otvorenom pristupu
Povezanost rada
Fizika, Interdisciplinarne prirodne znanosti