A network model of the interbank market

This work introduces a network model of an interbank market based on interbank credit lending relationships. It generates some network features identified through empirical analysis. The critical issue to construct an interbank network is to decide the edges among banks, which is realized in this paper based on the interbank’s degree of trust. Through simulation analysis of the interbank network model, some typical structural features are identified in our interbank network, which are also proved to exist in real interbank networks. They are namely, a low clustering coefficient and a relatively short average path length, community structures, and a two-power-law distribution of out-degree and in-degree.     

The topology of the federal funds market

We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. Centrality measures are useful predictors of the interest rate of a loan.     

The coevolutionary ultimatum game on different network topologies

In this paper, a model of ultimatum game is discussed from the coevolutionary perspective, where strategy dynamics and structure dynamics coexist. The interplay between structure dynamics and strategy dynamics leads to overwhelmingly interesting evolved topology and fairness behaviors. It is found that fair division emerges for specific ratios of structure updating probability to strategy updating probability. Furthermore, it is shown that the initial structures have no essentially different effect on the coevolutionary results. In particular, the results for strategy are almost similar whenever the initial structure is set to be the nearest-neighbor coupled network, the ER random network or the scale-free network. Besides, the effects of other spatial factors are also investigated, e.g. the population size has a positive influence on the offer, while the average degree has a negative effect. In addition, one extrinsic factor, the background payoff, is also of great importance in promoting fair divisions. Apart from above, we study the properties of the evolved networks, which have the small-world effect and positive assortative behaviors.     

The role of banks in the Brazilian interbank market: Does bank type matter?

This paper analyzes the Brazilian interbank network structure using a complex network-based approach. Results suggest a weak evidence of community structure, high heterogeneity of the network and that this market is characterized by money centers having exposures to many banks. Furthermore, we go beyond the structure of the network using information about the characteristics of the nodes and a non-parametric test in order to understand the role of the banks in the interbanking market.     

The effects of degree correlations on network topologies and robustness

Complex networks have been applied to model numerous interactive nonlinear systems in the real world. Knowledge about network topology is crucial to an understanding of the function, performance and evolution of complex systems. In the last few years, many network metrics and models have been proposed to investigate the network topology, dynamics and evolution. Since these network metrics and models are derived from a wide range of studies, a systematic study is required to investigate the correlations among them. The present paper explores the effect of degree correlation on the other network metrics through studying an ensemble of graphs where the degree sequence (set of degrees) is fixed. We show that to some extent, the characteristic path length, clustering coefficient, modular extent and robustness of networks are directly influenced by the degree correlation.     

Congestion and cascades in payment systems

We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks’ capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks’ net position to return to 0, the time for a bank to exhaust its liquidity endowment, and the liquidity market relaxation time. In the congested regime settlement takes place in cascades having a characteristic length scale. A global liquidity market substantially attenuates congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects.     

Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform

We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain semester. Based on this definition, we show that there are significant and persistent bilateral correlations between institutions’ trading strategies. In most semesters we find two clusters, with positively (negatively) correlated trading strategies within (between) clusters. We show that the two clusters mostly contain continuous net buyers and net sellers of money, respectively, and that cluster memberships of individual banks are highly persistent. Additionally, we highlight some problems related to our definition of trading strategies. Our findings add further evidence on the fact that preferential lending relationships on the micro-level lead to community structure on the macro-level.     

A dynamic model for traffic network flow

Concerning the link properties in traffic networks, we introduce a dynamic equation of road flow into each link, and thereby propose a dynamic model for network flow. Using this model, we investigate the evolutions of inflow, outflow and flow on each link caused by a small perturbation of the network inflow under different route choice rules. Numerical results show that the dynamic model can reasonably capture the basic characteristics of network flow.     

Integrating network structure and dynamic information for better routing strategy on scale-free networks

We study information packet routing processes on scale-free networks by mimicking the Internet traffic delivery strategies. We incorporate both the global network structure information and local queuing information in the dynamic processes. We propose several new routing strategies to guide the packet routing. The performance of the routing strategies is measured by the average transit time of the packets as well as their dependence on the traffic amount. We find that the routing strategies which integrate both global network structure information and local dynamic information perform much better than the traditional shortest-path routing protocol which takes into account only the global topological information. Moreover, from comparative studies of these routing strategies, we observe that some of our proposed methods can decrease the average transit time of packets but the performance is closely dependent on the total amount of traffic while some other proposed methods can have good performance independent of the total amount of traffic with hyper-excellent average transit time of packets. Also, numerical results show that our proposed methods integrating network structure information and local dynamic information can work much better than the methods recently proposed in [S. Sreenivasan, R. Cohen, E. López, Z. Toroczkai, H.E. Stanley, Phys. Rev. E 75 (2007) 036105, Zhi-Xi Wu, Gang Peng, Eric W.M. Wong, Kai-Hau Yeung, J. Stat. Mech. (2008) P11002.], which only considered network structure information.     

Method of analyzing the influence of network structure on information diffusion

Social phenomena are affected by the structure of networks consisting of personal relationships. In the present paper, the diffusion of information among people is examined. In particular, the relationship between the network structure and the dynamics is studied. First, several networks are generated using the proposed network model and other network models, such as the WS model and the KE model. By changing the parameters of the network models, networks with different structures are generated. The parameters of the network models determine the topology of the networks and the statistical indicators.     

分布式网络异常攻击检测模型仿真分析

针对传统的异常攻击检测方法主要以异常攻击行为规则与网络数据隶属度大小进行判别,只能针对已知异常攻击进行检测,对新型异常攻击,检测算法率低,计算数据量大的问题。提出一种新的分布式网络异常攻击检测方式,通过对分布式网络内数据进行迭代聚类将正常和异常数据进行分类,建立矩阵映射模型进行数据矩阵对比,初步对异常攻击数据进行判断。在矩阵中建立粒子密度函数,通过粒子密度变化计算其异常攻击概率,最后对其数据进行加权和波滤确定数据异常攻击特征,建立攻击检测模型。仿真实验表明,优化的分布式网络异常攻击检测模型提高了异常数据攻击检测的自适应性,在网络信号受到攻击信号干扰情况下,仍然能够准确检测出带有攻击特征的小网络异常数据。有效提高了分布式网络的检测正确率,加快了检测速度和稳定性。     

Distinguishing manipulated stocks via trading network analysis

Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of over a hundred stocks in a one-year period is conducted. For each stock, a trading network is constructed to characterize the relations among its investors. In trading networks, nodes represent investors and a directed link connects a stock seller to a buyer with the total trade size as the weight of the link, and the node strength is the sum of all edge weights of a node. For all these trading networks, we find that the node degree and node strength both have tails following a power-law distribution. Compared with non-manipulated stocks, manipulated stocks have a high lower bound of the power-law tail, a high average degree of the trading network and a low correlation between the price return and the seller-buyer ratio. These findings may help us to detect manipulated stocks.     

Performance analysis of integer linear programming optical monitor placement for crosstalk attack detection in different network topologies

In this paper, an optimum optical power monitor placement is formulated in integer linear programming for crosstalk attack detection by exploiting monitoring information from test connections. The experimental results showed that equipping 6 out of 14, 8 out of 15 and 8 out of 16 nodes with optical power monitoring devices in NSF, MESH and GRID topologies are enough to detect the nodes that are traversed by the crosstalk attack in the networks.     

A model for the evaluation of systemic risk in stock markets

Systemic risk refers to the possibility of a collapse of an entire financial system or market, differing from the risk associated with any particular individual or a group pertaining to the system, which may include banks, government, brokers, and creditors. After the 2008 financial crisis, a significant amount of effort has been directed to the study of systemic risk and its consequences around the world. Although it is very difficult to predict when people begin to lose confidence in a financial system, it is possible to model the relationships among the stock markets of different countries and perform a Monte Carlo-type analysis to study the contagion effect. Because some larger and stronger markets influence smaller ones, a model inspired by a catalytic chemical model is proposed. In chemical reactions, reagents with higher concentrations tend to favor their conversion to products. In order to modulate the conversion process, catalyzers may be used. In this work, a mathematical modeling is proposed with bases on the catalytic chemical reaction model. More specifically, the Hang Seng and Dow Jones indices are assumed to dominate Ibovespa (the Brazilian Stock Market index), such that the indices of strong markets are taken as being analogous to the concentrations of the reagents and the indices of smaller markets as concentrations of products. The role of the catalyst is to model the degree of influence of one index on another. The actual data used to fit the model parameter consisted of the Hang Seng index, Dow Jones index, and Ibovespa, since 1993. “What if” analyses were carried out considering some intervention policies.     

Disease dynamics in a dynamic social network

We develop a framework for simulating a realistic, evolving social network (a city) into which a disease is introduced. We compare our results to prevaccine era measles data for England and Wales, and find that they capture the quantitative and qualitative features of epidemics in populations spanning two orders of magnitude. Our results provide unique insight into how and why the social topology of the contact network influences the propagation of the disease through the population. We argue that network simulation is suitable for concurrently probing contact network dynamics and disease dynamics in ways that prior modeling approaches cannot and it can be extended to the study of less well-documented diseases.     

动态银行网络系统中系统性风险定量计算方法研究

采用复杂网络理论研究银行网络系统中的系统性风险问题已有较多的报道.这些研究大多假设银行网络系统是静态的(银行节点是静态的,银行节点间的借贷关系也是静态的),然后在系统性风险已经累积到爆发的情况下,研究风险爆发后,风险在静态网络系统中的传染与网络结构的关系.然而对于系统性风险如何在银行网络中累积直至爆发的问题的研究还很少.系统风险的累积过程需在动态演化的银行网络系统中才能实现,同时观察风险累积过程需对系统风险进行定量估算.因此,本文首先建立带有宏观经济趋势及多期清算的动态银行网络系统模型;提出系统风险的定量计算方法;最后对系统风险进行仿真计算与分析,得到了系统风险变化曲线,显示了系统风险累积的过程.该研究为定量研究动态银行网络系统的风险累积问题奠定了基础.     

Topic tracking with Bayesian belief network

The task of topic tracking is to monitor a stream of stories and find all subsequent stories that discuss the same topic. Using Bayesian belief network we give three topic tracking models: a static topic model BSTM and two dynamic topic models BDTM-I, BDTM-II. BDTM-II merges the advantages of BSTM and BDTM-I, has better tracking performance than the former two, and effectively alleviates topic drift phenomenon. Applying unrelated coming stories to update BDTM-I and BDTM-II can filter noises existed in topics. Experiments on TDT corpora show that BSTM decreases (C_det)_norm by 5.5% comparing to VSM, BDTM-II decreases (C_det)_norm by 6.3% and 6.0% comparing to BSTM and BDTM-I respectively, using unrelated stories can improve the tracking performance.     

Optimal dynamic bandwidth allocation for complex networks

Traffic capacity of one network strongly depends on the link’s bandwidth allocation strategy. In previous bandwidth allocation mechanisms, once one link’s bandwidth is allocated, it will be fixed throughout the overall traffic transmission process. However, the traffic load of every link changes from time to time. In this paper, with finite total bandwidth resource of the network, we propose to dynamically allocate the total bandwidth resource in which each link’s bandwidth is proportional to the queue length of the output buffer of the link per time step. With plenty of data packets in the network, the traffic handling ability of all links of the network achieves full utilization. The theoretical analysis and the extensive simulation results on complex networks are consistent. This work is valuable for network service providers to improve network performance or to do reasonable network design efficiently.     

Influence of a network structure on the network effect in the communication service market

In this study, we analyze the network effect in a model of a personal communication market, by using a multi-agent based simulation approach. We introduce into the simulation model complex network structures as the interaction patterns of agents. With complex network models, we investigate the dynamics of a market in which two providers are competing. We also examine the structure of networks that affect the complex behavior of the market. By a series of simulations, we show that the structural properties of complex networks, such as the clustering coefficient and degree correlation, have a major influence on the dynamics of the market. We find that the network effect is increased if the interaction pattern of agents is characterized by a high clustering coefficient, or a positive degree correlation. We also discuss a suitable model of the interaction pattern for reproducing market dynamics in the real world, by performing simulations using real data of a social network.