283 citations
- University College LondonGB54 papers
- London School of Economics and Political ScienceGB48 papers
- London Mathematical LaboratoryGB13 papers
- King's College LondonGB10 papers
- London Institute for Mathematical SciencesGB7 papers
- University of ZurichCH5 papers
- Eötvös Loránd UniversityHU4 papers
- IMT School for Advanced Studies LuccaIT4 papers
- Institute for Complex SystemsIT4 papers
- Parmenides FoundationDE4 papers
- Complexity Science HubAT3 papers
- Department of Science and TechnologyIN3 papers
8 papers · 1 filter
Distress propagation in complex networks: the case of non-linear DebtRank
Marco Bardoscia, Fabio Caccioli, Juan Ignacio Perotti +2
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct…
Understanding Modern Banking Ledgers through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money
Gareth William Peters, Efstathios Panayi
In this chapter we provide an overview of the concept of blockchain technology and its potential to disrupt the world of banking through facilitating global money remittance, smart…
Emergence of strongly connected giant components in continuum disk-spin percolation
Francesco Caravelli, Marco Bardoscia, Fabio Caccioli
We propose a continuum model of percolation in two dimensions for overlapping disks with spin. In this model the existence of bonds is determined by the distance between the center…
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
Fabio Caccioli, Imre Kondor, Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar…
Optimal growth trajectories with finite carrying capacity
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli +1
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is s…
Trends in crypto-currencies and blockchain technologies: A monetary theory and regulation perspective
Gareth W. Peters, Efstathios Panayi, Ariane Chapelle
The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a con…