Reducing Cascading Failure Risk by Increasing Infrastructure Network Interdependency

Increased coupling between critical infrastructure networks, such as power and communication systems, will have important implications for the reliability and security of these systems. To understand the effects of power-communication coupling, several have studied interdependent network models and reported that increased coupling can increase system vulnerability. However, these results come from models that have substantially different mechanisms of cascading, relative to those found in actual power and communication networks. This paper reports on two sets of experiments that compare the network vulnerability implications resulting from simple topological models and models that more accurately capture the dynamics of cascading in power systems. First, we compare a simple model of topological contagion to a model of cascading in power systems and find that the power grid shows a much higher level of vulnerability, relative to the contagion model. Second, we compare a model of topological cascades in coupled networks to three different physics-based models of power grids coupled to communication networks. Again, the more accurate models suggest very different conclusions. In all but the most extreme case, the physics-based power grid models indicate that increased power-communication coupling decreases vulnerability. This is opposite from what one would conclude from the coupled topological model, in which zero coupling is optimal. Finally, an extreme case in which communication failures immediately cause grid failures, suggests that if systems are poorly designed, increased coupling can be harmful. Together these results suggest design strategies for reducing the risk of cascades in interdependent infrastructure systems

Erratum: Reducing Cascading Failure Risk by Increasing Infrastructure Network Interdependence

This corrects the article DOI: 10.1038/srep44499

Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its accuracy. Relying on Trade and Quote data, we provide various measures of SIP latency relative to high-speed data feeds between exchanges, known as direct feeds. We use first differences to highlight not only the divergence between the direct feeds and the SIP, but also the fundamental inaccuracy of the SIP. We find that as many as 60 percent or more of trades are reported out of sequence for stocks with high trade volume, therefore skewing simple measures such as returns. While not yet definitive, this analysis supports our preliminary conclusion that the underlying infrastructure of the SIP is currently unable to keep pace with the trading activity in today's stock market.Comment: 18 pages, 20 figures, 2 table

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in calendar year 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million, a conservative estimate that does not take into account intra-day offsetting events