Self-organized criticality in a model of collective bank bankruptcies
arXiv:cond-mat/0111586 · doi:10.1142/S0129183102003164
Abstract
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financial market. We recognize the power law distribution of contagion sizes in 3d- and 4d-networks as an indicator of SOC behavior. The SOC dynamics was not detected in 2d-lattices. The difference between 2d- and 3d- or 4d-systems is explained due to the percolation theory.
For Int. J. Mod. Phys. C 13, No. 3, six pages including four figures