IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1209.6459.html
   My bibliography  Save this paper

Bootstrapping topology and systemic risk of complex network using the fitness model

Author

Listed:
  • Nicol'o Musmeci
  • Stefano Battiston
  • Guido Caldarelli
  • Michelangelo Puliga
  • Andrea Gabrielli

Abstract

We present a novel method to reconstruct complex network from partial information. We assume to know the links only for a subset of the nodes and to know some non-topological quantity (fitness) characterising every node. The missing links are generated on the basis of the latter quan- tity according to a fitness model calibrated on the subset of nodes for which links are known. We measure the quality of the reconstruction of several topological properties, such as the network density and the degree distri- bution as a function of the size of the initial subset of nodes. Moreover, we also study the resilience of the network to distress propagation. We first test the method on ensembles of synthetic networks generated with the Exponential Random Graph model which allows to apply common tools from statistical mechanics. We then test it on the empirical case of the World Trade Web. In both cases, we find that a subset of 10 % of nodes is enough to reconstruct the main features of the network along with its resilience with an error of 5%.

Suggested Citation

  • Nicol'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli, 2012. "Bootstrapping topology and systemic risk of complex network using the fitness model," Papers 1209.6459, arXiv.org.
  • Handle: RePEc:arx:papers:1209.6459
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1209.6459
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. de Masi, G. & Iori, G. & Caldarelli, G., 2006. "A fitness model for the Italian interbank money market," Working Papers 06/08, Department of Economics, City University London.
    2. Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1121-1141.
    3. Galluccio, S. & Caldarelli, G. & Marsili, M. & Zhang, Y.-C., 1997. "Scaling in currency exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 423-436.
    4. Aaron Clauset & Cristopher Moore & M. E. J. Newman, 2008. "Hierarchical structure and the prediction of missing links in networks," Nature, Nature, vol. 453(7191), pages 98-101, May.
    5. Iman van Lelyveld & Franka Liedorp, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
    6. Giorgio Fagiolo, 2010. "The international-trade network: gravity equations and topological properties," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(1), pages 1-25, June.
    7. Garlaschelli, Diego & Battiston, Stefano & Castri, Maurizio & Servedio, Vito D.P. & Caldarelli, Guido, 2005. "The scale-free topology of market investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 491-499.
    8. Hans Degryse & Grégory Nguyen, 2007. "Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 123-171, June.
    9. D. Garlaschelli & M. I. Loffredo, 2004. "Fitness-dependent topological properties of the World Trade Web," Papers cond-mat/0403051, arXiv.org, revised Oct 2004.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Giulio Cimini & Tiziano Squartini & Nicol`o Musmeci & Michelangelo Puliga & Andrea Gabrielli & Diego Garlaschelli & Stefano Battiston & Guido Caldarelli, 2014. "Reconstructing topological properties of complex networks using the fitness model," Papers 1410.2121, arXiv.org.
    2. Guido Caldarelli & Matthieu Cristelli & Andrea Gabrielli & Luciano Pietronero & Antonio Scala & Andrea Tacchella, 2012. "A Network Analysis of Countries’ Export Flows: Firm Grounds for the Building Blocks of the Economy," PLOS ONE, Public Library of Science, vol. 7(10), pages 1-11, October.
    3. Fathin Faizah Said, 2017. "Global Banking on the Financial Network Modelling: Sectorial Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 227-253, February.
    4. Hazan, Aurélien, 2017. "Volume of the steady-state space of financial flows in a monetary stock-flow-consistent model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 589-602.
    5. Krause, Andreas & Giansante, Simone, 2012. "Interbank lending and the spread of bank failures: A network model of systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 583-608.
    6. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
    7. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.
    8. Mungo, Luca & Lafond, François & Astudillo-Estévez, Pablo & Farmer, J. Doyne, 2023. "Reconstructing production networks using machine learning," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
    9. Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2013. "Null models of economic networks: the case of the world trade web," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 75-107, April.
    10. Mr. Nicolas Arregui & Mr. Mohamed Norat & Antonio Pancorbo & Ms. Jodi G Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness: Concepts and Prudential Tools," IMF Working Papers 2013/199, International Monetary Fund.
    11. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    12. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
    13. Nicolò Pecora & Alessandro Spelta, 2014. "Shareholding Network in the Euro Area Banking Market," DISCE - Working Papers del Dipartimento di Economia e Finanza def014, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    14. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    15. Alexandre, Michel & Silva, Thiago Christiano & Michalak, Krzysztof & Rodrigues, Francisco Aparecido, 2023. "Does the default pecking order impact systemic risk? Evidence from Brazilian data," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1379-1391.
    16. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
    17. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
    18. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
    19. Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
    20. Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1209.6459. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.