Statistics of Epidemics in Networks by Passing Messages

Epidemic processes are common out-of-equilibrium phenomena of broad interdisciplinary interest. In this thesis, we show how message-passing approach can be a helpful tool for simulating epidemic models in disordered medium like networks, and in particular for estimating the probability that a given node will become infectious at a particular time. The sort of dynamics we consider are stochastic, where randomness can arise from the stochastic events or from the randomness of network structures. As in belief propagation, variables or messages in message-passing approach are defined on the directed edges of a network. However, unlike belief propagation, where the posterior distributions are updated according to Bayes\u27 rule, in message-passing approach we write differential equations for the messages over time. It takes correlations between neighboring nodes into account while preventing causal signals from backtracking to their immediate source, and thus avoids echo chamber effects where a pair of adjacent nodes each amplify the probability that the other is infectious. In our first results, we develop a message-passing approach to threshold models of behavior popular in sociology. These are models, first proposed by Granovetter, where individuals have to hear about a trend or behavior from some number of neighbors before adopting it themselves. In thermodynamic limit of large random networks, we provide an exact analytic scheme while calculating the time dependence of the probabilities and thus learning about the whole dynamics of bootstrap percolation, which is a simple model known in statistical physics for exhibiting discontinuous phase transition. As an application, we apply a similar model to financial networks, studying when bankruptcies spread due to the sudden devaluation of shared assets in overlapping portfolios. We predict that although diversification may be good for individual institutions, it can create dangerous systemic effects, and as a result financial contagion gets worse with too much diversification. We also predict that financial system exhibits robust yet fragile behavior, with regions of the parameter space where contagion is rare but catastrophic whenever it occurs. In further results, we develop a message-passing approach to recurrent state epidemics like susceptible-infectious-susceptible and susceptible-infectious-recovered-susceptible where nodes can return to previously inhabited states and multiple waves of infection can pass through the population. Given that message-passing has been applied exclusively to models with one-way state changes like susceptible-infectious and susceptible-infectious-recovered, we develop message-passing for recurrent epidemics based on a new class of differential equations and demonstrate that our approach is simple and efficiently approximates results obtained from Monte Carlo simulation, and that the accuracy of message-passing is often superior to the pair approximation (which also takes second-order correlations into account)

Stability analysis of financial contagion due to overlapping portfolios

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process. By studying a stylized model we estimate the circumstances under which systemic instabilities are likely to occur as a function of parameters such as leverage, market crowding, diversification, and market impact. Although diversification may be good for individual institutions, it can create dangerous systemic effects, and as a result financial contagion gets worse with too much diversification. Under our model there is a critical threshold for leverage; below it financial networks are always stable, and above it the unstable region grows as leverage increases. The financial system exhibits "robust yet fragile" behavior, with regions of the parameter space where contagion is rare but catastrophic whenever it occurs. Our model and methods of analysis can be calibrated to real data and provide simple yet powerful tools for macroprudential stress testing.Comment: 25 pages, 8 figure

Global city densities: Re-examining urban scaling theory

Understanding scaling relations of social and environmental attributes of urban systems is necessary for effectively managing cities. Urban scaling theory (UST) has assumed that population density scales positively with city size. We present a new global analysis using a publicly available database of 933 cities from 38 countries. Our results showed that (18/38) 47% of countries analyzed supported increasing density scaling (pop ~ area) with exponents ~⅚ as UST predicts. In contrast, 17 of 38 countries (~45%) exhibited density scalings statistically indistinguishable from constant population densities across cities of varying sizes. These results were generally consistent in years spanning four decades from 1975 to 2015. Importantly, density varies by an order of magnitude between regions and countries and decreases in more developed economies. Our results (i) point to how economic and regional differences may affect the scaling of density with city size and (ii) show how understanding country- and region-specific strategies could inform effective management of urban systems for biodiversity, public health, conservation and resiliency from local to global scales.200 word statement of contribution: Urban Scaling Theory (UST) is a general scaling framework that makes quantitative predictions for how many urban attributes spanning physical, biological and social dimensions scale with city size; thus, UST has great implications in guiding future city developments. A major assumption of UST is that larger cities become denser. We evaluated this assumption using a publicly available global dataset of 933 cities in 38 countries. Our scaling analysis of population size and area of cities revealed that while many countries analyzed showed increasing densities with city size, about 45% of countries showed constant densities across cities. These results question a key assumption of UST. Our results suggest policies and management strategies for biodiversity conservation, public health and sustainability of urban systems may need to be tailored to national and regional scaling relations to be effective

Behavioral Growth Theory: A Neoclassical Approach

How do material norms and aspirations on which individual judgments of well-being are based affect the growth dynamics of an economy? Do economies that weigh very highly of these norms grow differently from those economies that values these norms differently? This paper attempts to answer these questions by building a growth model, where the individual not only cares for its consumption but also evaluates its consumption with its perceived level of ideal consumption. We show that it is best for the economy that individuals ignore material aspirations when the economy is growing, whereas they should highly care about their material aspiration when the economy is depleting. We also show that role of\ud individual's outlook is underestimated in contemporary growth theories

Stability Analysis of Financial Contagion Due to Overlapping Portfolios. Working Paper 2012-10-018, Santa Fe Institute

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