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arXiv · 1912.08631

Systemic risk and network intervention

Luca Damonte·Giacomo Como·Fabio Fagnani
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Abstract

We consider a novel adversarial shock/protection problem for a class of network equilibria models emerging from a variety of different fields as continuous network games, production networks, opinion dynamic models. The problem is casted into a min-max problem and analytically solved for two particular cases of aggregate performances: the mean square of the equilibrium or of its arithmetic mean. The main result is on the shape of the solutions, typically exhibiting a waterfilling type structure with the optimal protection concentrated in a proper subset of the nodes, depending significantly on the aggregate performance considered. The relation of the optimal protection with the Bonacich centrality is also considered.

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Luca Damonte, Giacomo Como, Fabio Fagnani. 2019-12-18. Systemic risk and network intervention. https://arxiv.org/abs/1912.08631

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