Entangling credit and funding shocks in interbank markets

Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations. On the other hand, solvency constraints may force banks to recover lost fundings by selling their illiquid assets, resulting in effective losses in the presence of fire sales - that is, when funding shortcomings are widespread over the market. Because of the complex structure of the network of interbank exposures, these losses reverberate among banks and eventually get amplified, with potentially catastrophic consequences for the whole financial system. Building on Debt Rank [Battiston et al., 2012], in this work we define a systemic risk metric that estimates the potential amplification of losses in interbank markets accounting for both credit and liquidity contagion channels: the Debt-Solvency Rank. We implement this framework on a dataset of 183 European banks that were publicly traded between 2004 and 2013, showing indeed that liquidity spillovers substantially increase systemic risk, and thus cannot be neglected in stress-test scenarios. We also provide additional evidence that the interbank market was extremely fragile up to the 2008 financial crisis, becoming slightly more robust only afterwards

Investigating the interplay between fundamentals of national research systems: performance, investments and international collaborations

We discuss, at the macro-level of nations, the contribution of research funding and rate of international collaboration to research performance, with important implications for the science of science policy. In particular, we cross-correlate suitable measures of these quantities with a scientometric-based assessment of scientific success, studying both the average performance of nations and their temporal dynamics in the space defined by these variables during the last decade. We find significant differences among nations in terms of efficiency in turning (financial) input into bibliometrically measurable output, and we confirm that growth of international collaboration positively correlate with scientific success, with significant benefits brought by EU integration policies. Various geo-cultural clusters of nations naturally emerge from our analysis. We critically discuss the possible factors that potentially determine the observed patterns

Measuring quality, reputation and trust in online communities

In the Internet era the information overload and the challenge to detect quality content has raised the issue of how to rank both resources and users in online communities. In this paper we develop a general ranking method that can simultaneously evaluate users' reputation and objects' quality in an iterative procedure, and that exploits the trust relationships and social acquaintances of users as an additional source of information. We test our method on two real online communities, the EconoPhysics forum and the Last.fm music catalogue, and determine how different variants of the algorithm influence the resultant ranking. We show the benefits of considering trust relationships, and define the form of the algorithm better apt to common situations

Generalized Markov stability of network communities

We address the problem of community detection in networks by introducing a general definition of Markov stability, based on the difference between the probability fluxes of a Markov chain on the network at different time scales. The specific implementation of the quality function and the resulting optimal community structure thus become dependent both on the type of Markov process and on the specific Markov times considered. For instance, if we use a natural Markov chain dynamics and discount its stationary distribution -- that is, we take as reference process the dynamics at infinite time -- we obtain the standard formulation of the Markov stability. Notably, the possibility to use finite-time transition probabilities to define the reference process naturally allows detecting communities at different resolutions, without the need to consider a continuous-time Markov chain in the small time limit. The main advantage of our general formulation of Markov stability based on dynamical flows is that we work with lumped Markov chains on network partitions, having the same stationary distribution of the original process. In this way the form of the quality function becomes invariant under partitioning, leading to a self-consistent definition of community structures at different aggregation scales

Bacterial protein interaction networks: connectivity is ruled by gene conservation, essentiality and function

Protein-protein interaction (PPI) networks are the backbone of all processes in living cells. In this work we relate conservation, essentiality and functional repertoire of a gene to the connectivity $k$ of the corresponding protein in the PPI networks. Focusing on a set of 42 bacterial species with reasonably separated evolutionary trajectories, we investigate three issues: i) whether the distribution of connectivity values changes between PPI subnetworks of essential and nonessential genes; ii) how gene conservation, measured both by the evolutionary retention index (ERI) and by evolutionary pressures (evaluated through the ratio $K_a/K_s$ and ENC plots) is related to the the connectivity of the corresponding protein; iii) how PPI connectivities are modulated by evolutionary and functional relationships, as represented by the Clusters of Orthologous Proteins (COGs). We show that conservation, essentiality and functional specialization of genes control in a quite universal way the topology of the emerging bacterial PPI networks. Noteworthy, a structural transition in the network is observed such that, for connectivities $k\ge40$, bacterial PPI networks are mostly populated by genes that are conserved, essential and which, in most cases, belong to the COG cluster J, related to ribosomal functions and to the processing of genetic information

Numerical assessment of the percolation threshold using complement networks

Models of percolation processes on networks currently assume locally tree-like structures at low densities, and are derived exactly only in the thermodynamic limit. Finite size effects and the presence of short loops in real systems however cause a deviation between the empirical percolation threshold $p_c$ and its model-predicted value $\pi_c$. Here we show the existence of an empirical linear relation between $p_c$ and $\pi_c$ across a large number of real and model networks. Such a putatively universal relation can then be used to correct the estimated value of $\pi_c$. We further show how to obtain a more precise relation using the concept of the complement graph, by investigating on the connection between the percolation threshold of a network, $p_c$, and that of its complement, $\bar{p}_c$

Epidemics of Liquidity Shortages in Interbank Markets

Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation between banks, and validate it on electronic market for interbank deposits data. We show that the interbank network was highly susceptible to liquidity contagion at the beginning of the 2007/2008 global financial crisis, and that the subsequent micro-prudential and liquidity hoarding policies adopted by banks increased the network resilience to systemic risk---yet with the undesired side effect of drying out liquidity from the market. We finally show that the individual riskiness of a bank is better captured by its network centrality than by its participation to the market, along with the currently debated concept of "too interconnected to fail"

The Scientific Competitiveness of Nations

We use citation data of scientific articles produced by individual nations in different scientific domains to determine the structure and efficiency of national research systems. We characterize the scientific fitness of each nation (that is, the competitiveness of its research system) and the complexity of each scientific domain by means of a non-linear iterative algorithm able to assess quantitatively the advantage of scientific diversification. We find that technological leading nations, beyond having the largest production of scientific papers and the largest number of citations, do not specialize in a few scientific domains. Rather, they diversify as much as possible their research system. On the other side, less developed nations are competitive only in scientific domains where also many other nations are present. Diversification thus represents the key element that correlates with scientific and technological competitiveness. A remarkable implication of this structure of the scientific competition is that the scientific domains playing the role of "markers" of national scientific competitiveness are those not necessarily of high technological requirements, but rather addressing the most "sophisticated" needs of the society

Factors Contributing to Participation in Web-based Surveys among Italian University Graduates

An established yearly survey aimed at monitoring the employment opportunities of Italian graduates, traditionally carried out with Cati methods, has been integrated during the last few years with Cawi. Cawi has become increasingly crucial due to the high number of graduates involved in the survey, which has mandated a reduction in fieldwork duration and unit costs. Although the seven Cawi surveys used here have different substantive and methodological characteristics, preliminary analysis reveals a common trend: the utmost participation is observed during the first few days immediately following initiation of fieldwork and, to a lesser degree, the delivery of follow-up reminders. Web respondents comprise a self-selected subgroup of the target population, having better academic performance and greater computer skills. A Cox regression model estimating response probability (or response time) shows, besides the obvious effects of certain personal and survey design characteristics, that faster response times are expressed by graduates in science or engineering and reporting good computer skills, whereas the fields of medicine/health and defence/security and no computer skills give rise to lower response probability. Ways to use these findings for fine-tuning data collection are discussed.Cawi surveys, Response rate, University graduates,Cox regression

Multiple structural transitions in interacting networks

Many real-world systems can be modeled as interconnected multilayer networks, namely a set of networks interacting with each other. Here we present a perturbative approach to study the properties of a general class of interconnected networks as inter-network interactions are established. We reveal multiple structural transitions for the algebraic connectivity of such systems, between regimes in which each network layer keeps its independent identity or drives diffusive processes over the whole system, thus generalizing previous results reporting a single transition point. Furthermore we show that, at first order in perturbation theory, the growth of the algebraic connectivity of each layer depends only on the degree configuration of the interaction network (projected on the respective Fiedler vector), and not on the actual interaction topology. Our findings can have important implications in the design of robust interconnected networked system, particularly in the presence of network layers whose integrity is more crucial for the functioning of the entire system. We finally show results of perturbation theory applied to the adjacency matrix of the interconnected network, which can be useful to characterize percolation processes on such systems