Bulletin of the American Physical Society
APS March Meeting 2013
Volume 58, Number 1
Monday–Friday, March 18–22, 2013; Baltimore, Maryland
Session C47: Invited Session: Statistical Physics for Systemic Risk and Infrastructural Interdependencies |
Hide Abstracts |
Sponsoring Units: GSNP Chair: Antonia Scala, CNR-ISC Institute for Complex Systems Room: Hilton Baltimore Holiday Ballroom 6 |
Monday, March 18, 2013 2:30PM - 3:06PM |
C47.00001: Self-consistency in Capital Markets Invited Speaker: Hamid Benbrahim Capital Markets are considered, at least in theory, information engines whereby traders contribute to price formation with their diverse perspectives. Regardless whether one believes in efficient market theory on not, actions by individual traders influence prices of securities, which in turn influence actions by other traders. This influence is exerted through a number of mechanisms including portfolio balancing, margin maintenance, trend following, and sentiment. As a result market behaviors emerge from a number of mechanisms ranging from self-consistency due to wisdom of the crowds and self-fulfilling prophecies, to more chaotic behavior resulting from dynamics similar to the three body system, namely the interplay between equities, options, and futures. This talk will address questions and findings regarding the search for self-consistency in capital markets. [Preview Abstract] |
Monday, March 18, 2013 3:06PM - 3:42PM |
C47.00002: DebtRank: Distress Cascades and Financial Immunization Invited Speaker: Stefano Battiston Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. However, there is no widely accepted methodology to determine the systemically important nodes in a network. To fill this gap, we introduce, DebtRank, a novel measure of systemic impact that overcomes the limitations of the current state of the art. DebtRank is inspired by feedback-centrality in complex networks but delivers an estimation of systemic impact in monetary terms of the impact of distress on individuals and groups of institutions. We illustrate various applications of DebtRank to real world financial networks. [Preview Abstract] |
Monday, March 18, 2013 3:42PM - 4:18PM |
C47.00003: Interdependent complex systems and critical infrastructures Invited Speaker: Raissa D'Souza Collections of networks are at the core of modern society, spanning technological, biological and social systems. Understanding the network structure of individual systems has lead to tremendous advances in the past decade. Yet, in reality, none of these individual networks lives in isolation and the consequences of interdependence can be surprising. Here we present results from random graph models of interacting networks. First, from a structural perspective, we show that interactions between different types of networks can enhance or delay the onset of large scale connectivity. Second, we consider a dynamical process on coupled networks. We use the classic Bak-Tang-Wiesenfeld sandpile model as an abstraction for cascades of load shedding and show that their can exist optimal levels of interconnectivity between networks that provide stabilizing effects with respect to cascades. We will also discuss recent advances in understanding interdependent social and technological networks which rely on coupling game theory to statistical physics and spatial models of random graphs that attempt to capture interdependencies in critical infrastructure systems. [Preview Abstract] |
Monday, March 18, 2013 4:18PM - 4:54PM |
C47.00004: The Fragility of Interdependency: Coupled Networks Switching Phenomena Invited Speaker: H. Eugene Stanley Recent disasters ranging from abrupt financial ``flash crashes'' and large-scale power outages to sudden death among the elderly dramatically exemplify the fact that the most dangerous vulnerability is hiding in the many interdependencies among different networks. In the past year, we have quantified failures in model of interconnected networks, and demonstrated the need to consider mutually dependent network properties in designing resilient systems. Specifically, we have uncovered new laws governing the nature of switching phenomena in coupled networks, and found that phenomena that are continuous ``second order'' phase transitions in isolated networks become discontinuous abrupt ``first order'' transitions in interdependent networks [S. V. Buldyrev, R. Parshani, G. Paul, H. E. Stanley, and S. Havlin, ``Catastrophic Cascade of Failures in Interdependent Networks,'' Nature 464, 1025 (2010); J. Gao, S. V. Buldyrev, H. E. Stanley, and S. Havlin, ``Novel Behavior of Networks Formed from Interdependent Networks,'' Nature Physics 8, 40 (2012). We conclude by discussing the network basis for understanding sudden death in the elderly, and the possibility that financial ``flash crashes'' are not unlike the catastrophic first-order failure incidents occurring in coupled networks. Specifically, we study the coupled networks that are responsible for financial fluctuations. It appears that ``trend switching phenomena'' that we uncover are remarkably independent of the scale over which they are analyzed. For example, we find that the same laws governing the formation and bursting of the largest financial bubbles also govern the tiniest finance bubbles, over a factor of 1,000,000,000 in time scale [T. Preis, J. Schneider, and H. E. Stanley, ``Switching Processes in Financial Markets,'' Proc. Natl. Acad. Sci. USA 108, 7674 (2011); T. Preis and H. E. Stanley, ``Bubble Trouble: Can a Law Describe Bubbles and Crashes in Financial Markets?'' Physics World 24, No. 5, 29 (May 2011)]. [Preview Abstract] |
Monday, March 18, 2013 4:54PM - 5:30PM |
C47.00005: Information and disease diffusion in dynamic social environments Invited Speaker: Alessandro Vespignani In recent years the increasing availability of computer power and informatics tools has enabled the gathering of reliable data quantifying the complexity of socio-technical systems. Data-driven computational models have emerged as appropriate tools to tackle the study of contagion and diffusion processes as diverse as epidemic outbreaks, information spreading and Internet packet routing. These models aim at providing a rationale for understanding the emerging tipping points and nonlinear properties that often underpin the most interesting characteristics of socio-technical systems. ~Here I review some of the recent progress in modeling contagion and epidemic processes that integrates the complex features and heterogeneities of real-world systems. [Preview Abstract] |
Follow Us |
Engage
Become an APS Member |
My APS
Renew Membership |
Information for |
About APSThe American Physical Society (APS) is a non-profit membership organization working to advance the knowledge of physics. |
© 2024 American Physical Society
| All rights reserved | Terms of Use
| Contact Us
Headquarters
1 Physics Ellipse, College Park, MD 20740-3844
(301) 209-3200
Editorial Office
100 Motor Pkwy, Suite 110, Hauppauge, NY 11788
(631) 591-4000
Office of Public Affairs
529 14th St NW, Suite 1050, Washington, D.C. 20045-2001
(202) 662-8700