eprintid: 2834
rev_number: 9
eprint_status: archive
userid: 69
dir: disk0/00/00/28/34
datestamp: 2015-11-05 15:00:03
lastmod: 2018-03-08 16:58:34
status_changed: 2015-11-05 15:00:03
type: article
metadata_visibility: show
creators_name: Cimini, Giulio
creators_name: Squartini, Tiziano
creators_name: Garlaschelli, Diego
creators_name: Gabrielli, Andrea
creators_id: giulio.cimini@imtlucca.it
creators_id: tiziano.squartini@imtlucca.it
creators_id: diego.garlaschelli@imtlucca.it
creators_id: 
title: Systemic Risk Analysis on Reconstructed Economic and Financial Networks
ispublished: pub
subjects: HD61
subjects: HG
divisions: EIC
full_text_status: public
abstract: We address a fundamental problem that is systematically encountered when modeling real-world complex systems of societal relevance: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information that can be accessed and, as a consequence, the possibility of correctly estimating the resilience of these systems to events such as financial shocks, crises and cascade failures. Here we present an innovative method to reconstruct the structure of such partially-accessible systems, based on the knowledge of intrinsic node-specific properties and of the number of connections of only a limited subset of nodes. This information is used to calibrate an inference procedure based on fundamental concepts derived from statistical physics, which allows to generate ensembles of directed weighted networks intended to represent the real system—so that the real network properties can be estimated as their average values within the ensemble. We test the method both on synthetic and empirical networks, focusing on the properties that are commonly used to measure systemic risk. Indeed, the method shows a remarkable robustness with respect to the limitedness of the information available, thus representing a valuable tool for gaining insights on privacy-protected economic and financial systems.
date: 2015
date_type: published
publication: Scientific Reports
volume: 5
publisher: Nature Publishing Group
pagerange: 15758
id_number: 10.1038/srep15758
refereed: TRUE
issn: 2045-2322
official_url: http://www.nature.com/articles/srep15758
citation:   Cimini, Giulio and Squartini, Tiziano and Garlaschelli, Diego and Gabrielli, Andrea  Systemic Risk Analysis on Reconstructed Economic and Financial Networks.  Scientific Reports, 5.  p. 15758.  ISSN 2045-2322      (2015)  
document_url: http://eprints.imtlucca.it/2834/1/srep15758%20%281%29%20%281%29.pdf