Systemic Risk in a Unifying Framework for Cascading Processes on Networks

We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the voter model, and models of epidemic spreading are recovered as special cases. To unify their description, we define the net fragility of a node, which is the difference between its fragility and the threshold that determines its failure. Nodes fail if their net fragility grows above zero and their failure increases the fragility of neighbouring nodes, thus possibly triggering a cascade. In this framework, we identify three classes depending on the way the fragility of a node is increased by the failure of a neighbour. At the microscopic level, we illustrate with specific examples how the failure spreading pattern varies with the node triggering the cascade, depending on its position in the network and its degree. At the macroscopic level, systemic risk is measured as the final fraction of failed nodes, $X^\ast$, and for each of the three classes we derive a recursive equation to compute its value. The phase diagram of $X^\ast$ as a function of the initial conditions, thus allows for a prediction of the systemic risk as well as a comparison of the three different model classes. We could identify which model class lead to a first-order phase transition in systemic risk, i.e. situations where small changes in the initial conditions may lead to a global failure. Eventually, we generalize our framework to encompass stochastic contagion models. This indicates the potential for further generalizations.Comment: 43 pages, 16 multipart figure

Mean-field models for non-Markovian epidemics on networks

This paper introduces a novel extension of the edge-based compartmental model to epidemics where the transmission and recovery processes are driven by general independent probability distributions. Edge-based compartmental modelling is just one of many different approaches used to model the spread of an infectious disease on a network; the major result of this paper is the rigorous proof that the edge-based compartmental model and the message passing models are equivalent for general independent transmission and recovery processes. This implies that the new model is exact on the ensemble of configuration model networks of infinite size. For the case of Markovian transmission themessage passing model is re-parametrised into a pairwise-like model which is then used to derive many well-known pairwise models for regular networks, or when the infectious period is exponentially distributed or is of a fixed length

A General Model of Dynamics on Networks with Graph Automorphism Lumping

In this paper we introduce a general Markov chain model of dynamical processes on networks. In this model, nodes in the network can adopt a finite number of states and transitions can occur that involve multiple nodes changing state at once. The rules that govern transitions only depend on measures related to the state and structure of the network and not on the particular nodes involved. We prove that symmetries of the network can be used to lump equivalent states in state-space. We illustrate how several examples of well-known dynamical processes on networks correspond to particular cases of our general model. This work connects a wide range of models specified in terms of node-based dynamical rules to their exact continuous-time Markov chain formulation

Rejection-Based Simulation of Non-Markovian Agents on Complex Networks

Stochastic models in which agents interact with their neighborhood according to a network topology are a powerful modeling framework to study the emergence of complex dynamic patterns in real-world systems. Stochastic simulations are often the preferred\u2014sometimes the only feasible\u2014way to investigate such systems. Previous research focused primarily on Markovian models where the random time until an interaction happens follows an exponential distribution. In this work, we study a general framework to model systems where each agent is in one of several states. Agents can change their state at random, influenced by their complete neighborhood, while the time to the next event can follow an arbitrary probability distribution. Classically, these simulations are hindered by high computational costs of updating the rates of interconnected agents and sampling the random residence times from arbitrary distributions. We propose a rejection-based, event-driven simulation algorithm to overcome these limitations. Our method over-approximates the instantaneous rates corresponding to inter-event times while rejection events counter-balance these over-approximations. We demonstrate the effectiveness of our approach on models of epidemic and information spreading