Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Aninhamento em redes bipartidas

We present a nestedness index that measures the nestedness pattern of bipartite networks, a problem that arises in theoretical ecology. Our measure is derived using the sum of distances of the occupied elements in the adjacency matrix of the network. This index quantifies directly the deviation of a given matrix from the nested pattern. In the most simple case the distance of the matrix element ai,j is di,j = i+j, the Manhattan distance. A generic distance is obtained as di,j = (i¬ + j¬)1/¬. The nestedness índex is defined by = 1 − where is the temperature of the matrix. We construct the temperature index using two benchmarks: the distance of the complete nested matrix that corresponds to zero temperature and the distance of the average random matrix that is defined as temperature one. We discuss an important feature of the problem: matrix occupancy. We address this question using a metric index ¬ that adjusts for matrix occupancy

Structure and mechanism of diet specialisation: testing models of individual variation in resource use with sea otters

Studies of consumer-resource interactions suggest that individual diet specialisation is empirically widespread and theoretically important to the organisation and dynamics of populations and communities. We used weighted networks to analyze the resource use by sea otters, testing three alternative models for how individual diet specialisation may arise. As expected, individual specialisation was absent when otter density was low, but increased at high-otter density. A high-density emergence of nested resource-use networks was consistent with the model assuming individuals share preference ranks. However, a density-dependent emergence of a non-nested modular network for core resources was more consistent with the competitive refuge model. Individuals from different diet modules showed predictable variation in rank-order prey preferences and handling times of core resources, further supporting the competitive refuge model. Our findings support a hierarchical organisation of diet specialisation and suggest individual use of core and marginal resources may be driven by different selective pressures.

The consumer litigation industry: chasing dragon kings in lawyer-client networks

The community of lawyers and their clients form a scale-free bipartite network that develops naturally as the outcome of the recommendation process through which lawyers form their client base. This process is an example of preferential attachment where lawyers with more clients are more likely to be recommended to new clients. Consumer litigation is an important market for lawyers. In large consumer societies, there always a signi cant amount of consumption disputes that escalate to court. In this paper we analyze a dataset of thousands of lawsuits, reconstructing the lawyer-client network embedded in the data. Analyzing the degree distribution of this network we noticed that it follows that of a scale-free network built by preferential attachment, but for a few lawyers with much larger client base than could be expected by preferential attachment. Incidentally, most of these also gured on a list put together by the judiciary of Lawyers which openly advertised the bene ts of consumer litigation. According to the code of ethics of their profession, lawyers should not stimulate clients into litigation, but it is not strictly illegal. From a network formation point of view, this stimulation can be seen as a separate growth mechanism than preferential attachment alone. In this paper we nd that this composite growth can be detected by a simple statistical test, as simulations show that lawyers which use both mechanisms quickly become the \Dragon-Kings" of the distribution of the number of clients per lawyer.

Coded slotted aloha with multipacket reception over block fading channels (for satellite networks)

Random access (RA) protocols are normally used in a satellite networks for initial terminal access and are particularly effective since no coordination is required. On the other hand, contention resolution diversity slotted Aloha (CRDSA), irregular repetition slotted Aloha (IRSA) and coded slotted Aloha (CSA) has shown to be more efficient than classic RA schemes as slotted Aloha, and can be exploited also when short packets transmissions are done over a shared medium. In particular, they relies on burst repetition and on successive interference cancellation (SIC) applied at the receiver. The SIC process can be well described using a bipartite graph representation and exploiting tools used for analyze iterative decoding. The scope of my Master Thesis has been to described the performance of such RA protocols when the Rayleigh fading is taken into account. In this context, each user has the ability to correctly decode a packet also in presence of collision and when SIC is considered this may result in multi-packet reception. Analysis of the SIC procedure under Rayleigh fading has been analytically derived for the asymptotic case (infinite frame length), helping the analysis of both throughput and packet loss rates. An upper bound of the achievable performance has been analytically obtained. It can be show that in particular channel conditions the throughput of the system can be greater than one packets per slot which is the theoretical limit of the Collision Channel case.

Modeling the evolution of item rating networks using time-domain preferential attachment

The understanding of the structure and dynamics of the intricate network of connections among people that consumes products through Internet appears as an extremely useful asset in order to study emergent properties related to social behavior. This knowledge could be useful, for example, to improve the performance of personal recommendation algorithms. In this contribution, we analyzed five-year records of movie-rating transactions provided by Netflix, a movie rental platform where users rate movies from an online catalog. This dataset can be studied as a bipartite user-item network whose structure evolves in time. Even though several topological properties from subsets of this bipartite network have been reported with a model that combines random and preferential attachment mechanisms [Beguerisse Díaz et al., 2010], there are still many aspects worth to be explored, as they are connected to relevant phenomena underlying the evolution of the network. In this work, we test the hypothesis that bursty human behavior is essential in order to describe how a bipartite user-item network evolves in time. To that end, we propose a novel model that combines, for user nodes, a network growth prescription based on a preferential attachment mechanism acting not only in the topological domain (i.e. based on node degrees) but also in time domain. In the case of items, the model mixes degree preferential attachment and random selection. With these ingredients, the model is not only able to reproduce the asymptotic degree distribution, but also shows an excellent agreement with the Netflix data in several time-dependent topological properties.

Information content: assessing meso-scale structures in complex networks

We propose a novel measure to assess the presence of meso-scale structures in complex networks. This measure is based on the identi?cation of regular patterns in the adjacency matrix of the network, and on the calculation of the quantity of information lost when pairs of nodes are iteratively merged. We show how this measure is able to quantify several meso-scale structures, like the presence of modularity, bipartite and core-periphery con?gurations, or motifs. Results corresponding to a large set of real networks are used to validate its ability to detect non-trivial topological patterns.

Exact Combinatorial Optimization with Graph Convolutional Neural Networks

Combinatorial optimization problems are typically tackled by the branch-and-bound paradigm. We propose to learn a variable selection policy for branch-and-bound in mixed-integer linear programming, by imitation learning on a diversified variant of the strong branching expert rule. We encode states as bipartite graphs and parameterize the policy as a graph convolutional neural network. Experiments on a series of synthetic problems demonstrate that our approach produces policies that can improve upon expert-designed branching rules on large problems, and generalize to instances significantly larger than seen during training.

Contrasting Effects Of Land Use Intensity And Exotic Host Plants On The Specialization Of Interactions In Plant-herbivore Networks.

Human land use tends to decrease the diversity of native plant species and facilitate the invasion and establishment of exotic ones. Such changes in land use and plant community composition usually have negative impacts on the assemblages of native herbivorous insects. Highly specialized herbivores are expected to be especially sensitive to land use intensification and the presence of exotic plant species because they are neither capable of consuming alternative plant species of the native flora nor exotic plant species. Therefore, higher levels of land use intensity might reduce the proportion of highly specialized herbivores, which ultimately would lead to changes in the specialization of interactions in plant-herbivore networks. This study investigates the community-wide effects of land use intensity on the degree of specialization of 72 plant-herbivore networks, including effects mediated by the increase in the proportion of exotic plant species. Contrary to our expectation, the net effect of land use intensity on network specialization was positive. However, this positive effect of land use intensity was partially canceled by an opposite effect of the proportion of exotic plant species on network specialization. When we analyzed networks composed exclusively of endophagous herbivores separately from those composed exclusively of exophagous herbivores, we found that only endophages showed a consistent change in network specialization at higher land use levels. Altogether, these results indicate that land use intensity is an important ecological driver of network specialization, by way of reducing the local host range of herbivore guilds with highly specialized feeding habits. However, because the effect of land use intensity is offset by an opposite effect owing to the proportion of exotic host species, the net effect of land use in a given herbivore assemblage will likely depend on the extent of the replacement of native host species with exotic ones.

Complex networks: the key to systems biology

Though introduced recently, complex networks research has grown steadily because of its potential to represent, characterize and model a wide range of intricate natural systems and phenomena. Because of the intrinsic complexity and systemic organization of life, complex networks provide a specially promising framework for systems biology investigation. The current article is an up-to-date review of the major developments related to the application of complex networks in biology, with special attention focused on the more recent literature. The main concepts and models of complex networks are presented and illustrated in an accessible fashion. Three main types of networks are covered: transcriptional regulatory networks, protein-protein interaction networks and metabolic networks. The key role of complex networks for systems biology is extensively illustrated by several of the papers reviewed.

Neural networks and statistical analysis for classification of corneal videokeratography maps based on Zernike coefficients: a quantitative comparison

PURPOSE: The main goal of this study was to develop and compare two different techniques for classification of specific types of corneal shapes when Zernike coefficients are used as inputs. A feed-forward artificial Neural Network (NN) and discriminant analysis (DA) techniques were used. METHODS: The inputs both for the NN and DA were the first 15 standard Zernike coefficients for 80 previously classified corneal elevation data files from an Eyesys System 2000 Videokeratograph (VK), installed at the Departamento de Oftalmologia of the Escola Paulista de Medicina, São Paulo. The NN had 5 output neurons which were associated with 5 typical corneal shapes: keratoconus, with-the-rule astigmatism, against-the-rule astigmatism, "regular" or "normal" shape and post-PRK. RESULTS: The NN and DA responses were statistically analyzed in terms of precision ([true positive+true negative]/total number of cases). Mean overall results for all cases for the NN and DA techniques were, respectively, 94% and 84.8%. CONCLUSION: Although we used a relatively small database, results obtained in the present study indicate that Zernike polynomials as descriptors of corneal shape may be a reliable parameter as input data for diagnostic automation of VK maps, using either NN or DA.

Influence of the bipartite scrotum on the testicular and scrotal temperatures in goats

The influence of the scrotal bipartition and of the year period on the scrotal-testicular thermal regulation was evaluated in male goats raised in Piaui State, Brazil. Eighteen male goats at mating age were accomplished in this study and arranged into three Groups (6 animals each) obeying the classification as goats presenting no scrotal bipartition (Group I), goats showing scrotal bipartition at 50% of the testicular length (Group II), and goats with more than 50% of scrotal bipartition (Group III). The scrotal, testicular and spermatic funiculi temperatures were evaluated invasively with the aid of a digital thermometer and non-invasive with a pyrometer in the proximal, medial and distal portion. The data were acquired during the dry (October-November) and rainy (February-March) period of the year, measured in two shifts: morning (6h00-7h00) and afternoon (14h00-15h00). The results were submitted to variance analysis (ANOVA) following the SNK test for average comparison (p<0.05). The year period interfered on the scrotal-testicular thermal regulation, due to increased temperatures of the scrotal, testicular and spermatic funiculi during the dry period in comparison with the rainy period. The bipartition level was also a factor which contributed to the influence of scrotal-testicular temperature regulation, due to lower average scrotal-testicular temperature rates observed during both periods in the goats with higher levels of scrotal bipartition (>50%). It is possible to conclude that with the experimental conditions applied on this study, the level of scrotal bipartition and the climatic conditions interfere with the scrotal-testicular thermal regulation in goats.

Evaluation of follicular lymphoid depletion in the Bursa of Fabricius: an alternative methodology using digital image analysis and artificial neural networks

Fifty Bursa of Fabricius (BF) were examined by conventional optical microscopy and digital images were acquired and processed using Matlab® 6.5 software. The Artificial Neuronal Network (ANN) was generated using Neuroshell® Classifier software and the optical and digital data were compared. The ANN was able to make a comparable classification of digital and optical scores. The use of ANN was able to classify correctly the majority of the follicles, reaching sensibility and specificity of 89% and 96%, respectively. When the follicles were scored and grouped in a binary fashion the sensibility increased to 90% and obtained the maximum value for the specificity of 92%. These results demonstrate that the use of digital image analysis and ANN is a useful tool for the pathological classification of the BF lymphoid depletion. In addition it provides objective results that allow measuring the dimension of the error in the diagnosis and classification therefore making comparison between databases feasible.

Classification of breast masses using a committee machine of artificial neural networks

This work proposes a new approach using a committee machine of artificial neural networks to classify masses found in mammograms as benign or malignant. Three shape factors, three edge-sharpness measures, and 14 texture measures are used for the classification of 20 regions of interest (ROIs) related to malignant tumors and 37 ROIs related to benign masses. A group of multilayer perceptrons (MLPs) is employed as a committee machine of neural network classifiers. The classification results are reached by combining the responses of the individual classifiers. Experiments involving changes in the learning algorithm of the committee machine are conducted. The classification accuracy is evaluated using the area A. under the receiver operating characteristics (ROC) curve. The A, result for the committee machine is compared with the A, results obtained using MLPs and single-layer perceptrons (SLPs), as well as a linear discriminant analysis (LDA) classifier Tests are carried out using the student's t-distribution. The committee machine classifier outperforms the MLP SLP, and LDA classifiers in the following cases: with the shape measure of spiculation index, the A, values of the four methods are, in order 0.93, 0.84, 0.75, and 0.76; and with the edge-sharpness measure of acutance, the values are 0.79, 0.70, 0.69, and 0.74. Although the features with which improvement is obtained with the committee machines are not the same as those that provided the maximal value of A(z) (A(z) = 0.99 with some shape features, with or without the committee machine), they correspond to features that are not critically dependent on the accuracy of the boundaries of the masses, which is an important result. (c) 2008 SPIE and IS&T.

Fully Connected PLL Networks: How Filter Determines the Number of Nodes

Synchronization plays an important role in telecommunication systems, integrated circuits, and automation systems. Formerly, the masterslave synchronization strategy was used in the great majority of cases due to its reliability and simplicity. Recently, with the wireless networks development, and with the increase of the operation frequency of integrated circuits, the decentralized clock distribution strategies are gaining importance. Consequently, fully connected clock distribution systems with nodes composed of phase-locked loops (PLLs) appear as a convenient engineering solution. In this work, the stability of the synchronous state of these networks is studied in two relevant situations: when the node filters are first-order lag-lead low-pass or when the node filters are second-order low-pass. For first-order filters, the synchronous state of the network shows to be stable for any number of nodes. For second-order filter, there is a superior limit for the number of nodes, depending on the PLL parameters. Copyright (C) 2009 Atila Madureira Bueno et al.