arXiv subjects

Guido Caldarelli

Publications and source records attributed to Guido Caldarelli.

At least 55 records · Page 3Linked to original sources

arXiv2019

Detecting Core-Periphery Structures by Surprise

Detecting the presence of mesoscale structures in complex networks is of primary importance. This is especially true for financial networks, whose structural organization deeply affects their resilience to events like default cascades, shocks propagation, etc. Several methods have been proposed, so far, to detect communities, i.e. groups of nodes whose connectivity is significantly large. Communities, however do not represent the only kind of mesoscale structures characterizing real-world networks: other examples are provided by bow-tie structures, core-periphery structures and bipartite structures. Here we propose a novel method to detect statistically-signifcant bimodular structures, i.e. either bipartite or core-periphery ones. It is based on a modification of the surprise, recently proposed for detecting communities. Our variant allows for bimodular nodes partitions to be revealed, by letting links to be placed either 1) within the core part and between the core and the periphery parts or 2) just between the (empty) layers of a bipartite network. From a technical point of view, this is achieved by employing a multinomial hypergeometric distribution instead of the traditional (binomial) hypergeometric one; as in the latter case, this allows a p-value to be assigned to any given (bi)partition of the nodes. To illustrate the performance of our method, we report the results of its application to several real-world networks, including social, economic and financial ones.

physics.soc-ph↗

arXiv2019

Controlling systemic risk - network structures that minimize it and node properties to calculate it

Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk evaluation which requires only node properties, such as total assets and liabilities, as inputs. We demonstrate that this approximation captures a large portion of systemic risk measured by Debt Rank. Furthermore, using Monte Carlo simulations, we investigate network structures that can amplify systemic risk. Indeed, while no topology in general sense is {\em a priori} more stable if the market is liquid [1], a larger complexity is detrimental for the overall stability [2]. Here we find that the measure of scalar assortativity correlates well with level of systemic risk. In particular, network structures with high systemic risk are scalar assortative, meaning that risky banks are mostly exposed to other risky banks. Network structures with low systemic risk are scalar disassortative, with interactions of risky banks with stable banks.

q-fin.RM↗

arXiv2019

Extracting significant signal of news consumption from social networks: the case of Twitter in Italian political elections

According to the Eurobarometer report about EU media use of May 2018, the number of European citizens who consult on-line social networks for accessing information is considerably increasing. In this work we analyze approximately $10^6$ tweets exchanged during the last Italian elections. By using an entropy-based null model discounting the activity of the users, we first identify potential political alliances within the group of verified accounts: if two verified users are retweeted more than expected by the non-verified ones, they are likely to be related. Then, we derive the users' affiliation to a coalition measuring the polarization of unverified accounts. Finally, we study the bipartite directed representation of the tweets and retweets network, in which tweets and users are collected on the two layers. Users with the highest out-degree identify the most popular ones, whereas highest out-degree posts are the most "viral". We identify significant content spreaders by statistically validating the connections that cannot be explained by users' tweeting activity and posts' virality by using an entropy-based null model as benchmark. The analysis of the directed network of validated retweets reveals signals of the alliances formed after the elections, highlighting commonalities of interests before the event of the national elections.

physics.soc-ph↗

arXiv2019

The Multilayer Structure of Corporate Networks

Various company interactions can be described by networks, for instance the ownership networks and the board membership networks. To understand the ecosystem of companies, these interactions cannot be seen in isolation. For this purpose we construct a new multilayer network of interactions between companies in Germany and in the United Kingdom, combining ownership links, social ties through joint board directors, R\&D collaborations and stock correlations in one linked multiplex dataset. We describe the features of this network and show there exists a non-trivial overlap between these different types of networks, where the different types of connections complement each other and make the overall structure more complex. This highlights that corporate control, boardroom influence and other connections have different structures and together make an even smaller corporate world than previously reported. We have a first look at the relation between company performance and location in the network structure.

physics.soc-ph↗

arXiv2018

Reconstructing mesoscale network structures

When facing complex mesoscale network structures, it is generally believed that (null) models encoding the modular organization of nodes must be employed. The present paper focuses on two block structures that characterize the mesoscale organization of many real-world networks, i.e. the bow-tie and the core-periphery ones. Our analysis shows that constraining the network degree sequence is often enough to reproduce such structures, as confirmed by model selection criteria as AIC or BIC. As a byproduct, our paper enriches the toolbox for the analysis of bipartite networks - still far from being complete. The aforementioned structures, in fact, partition the networks into asymmetric blocks characterized by binary, directed connections, thus calling for the extension of a recently-proposed method to randomize undirected, bipartite networks to the directed case.

physics.soc-ph↗

arXiv2018

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 $π_c$. Here we show the existence of an empirical linear relation between $p_c$ and $π_c$ across a large number of real and model networks. Such a putatively universal relation can then be used to correct the estimated value of $π_c$. 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, $\bar{p}_c$.

physics.soc-ph↗

arXiv2018

The Grand Canonical ensemble of weighted networks

The cornerstone of statistical mechanics of complex networks is the idea that the links, and not the nodes, are the effective particles of the system. Here we formulate a mapping between weighted networks and lattice gasses, making the conceptual step forward of interpreting weighted links as particles with a generalised coordinate. This leads to the definition of the grand canonical ensemble of weighted complex networks. We derive exact expressions for the partition function and thermodynamic quantities, both in the cases of global and local (i.e., node-specific) constraints on density and mean energy of particles. We further show that, when modelling real cases of networks, the binary and weighted statistics of the ensemble can be disentangled, leading to a simplified framework for a range of practical applications.

cond-mat.stat-mech↗

arXiv2018

Fragility and anomalous susceptibility of weakly interacting networks

Percolation is a fundamental concept that brought new understanding on the robustness properties of complex systems. Here we consider percolation on weakly interacting networks, that is, network layers coupled together by much less interlinks than the connections within each layer. For these kinds of structures, both continuous and abrupt phase transition are observed in the size of the giant component. The continuous (second-order) transition corresponds to the formation of a giant cluster inside one layer, and has a well defined percolation threshold. The abrupt transition instead corresponds to the merger of coexisting giant clusters among different layers, and is characterised by a remarkable uncertainty in the percolation threshold, which in turns causes an anomalous trend in the observed susceptibility. We develop a simple mathematical model able to describe this phenomenon and to estimate the critical threshold for which the abrupt transition is more likely to occur. Remarkably, finite-size scaling analysis in the abrupt region supports the hypothesis of a genuine first-order phase transition.

physics.soc-ph↗

arXiv2018

Bond and site color-avoiding percolation in scale free networks

Recently the problem of classes of vulnerable vertices (represented by colors) in complex networks has been discussed, where all vertices with the same vulnerability are prone to fail together. Utilizing redundant paths each avoiding one vulnerability (color), a robust color-avoiding connectivity is possible. However, many infrastructure networks show the problem of vulnerable classes of \textit{edges} instead of vertices. Here we formulate color-avoiding percolation for colored edges as well. Additionally, we allow for random failures of vertices or edges. The interplay of random failures and possible collective failures implies a rich phenomenology. A new form of critical behavior is found for networks with a power law degree distribution independent of the number of the colors, but still dependent on existence of the colors and therefore different from standard percolation. Our percolation framework fills a gap between different multilayer network percolation scenarios.

cond-mat.stat-mech↗

arXiv2018

Thermodynamics of the Minimum Description Length on Community Detection

Modern statistical modeling is an important complement to the more traditional approach of physics where Complex Systems are studied by means of extremely simple idealized models. The Minimum Description Length (MDL) is a principled approach to statistical modeling combining Occam's razor with Information Theory for the selection of models providing the most concise descriptions. In this work, we introduce the Boltzmannian MDL (BMDL), a formalization of the principle of MDL with a parametric complexity conveniently formulated as the free-energy of an artificial thermodynamic system. In this way, we leverage on the rich theoretical and technical background of statistical mechanics, to show the crucial importance that phase transitions and other thermodynamic concepts have on the problem of statistical modeling from an information theoretic point of view. For example, we provide information theoretic justifications of why a high-temperature series expansion can be used to compute systematic approximations of the BMDL when the formalism is used to model data, and why statistically significant model selections can be identified with ordered phases when the BMDL is used to model models. To test the introduced formalism, we compute approximations of BMDL for the problem of community detection in complex networks, where we obtain a principled MDL derivation of the Girvan-Newman (GN) modularity and the Zhang-Moore (ZM) community detection method. Here, by means of analytical estimations and numerical experiments on synthetic and empirical networks, we find that BMDL-based correction terms of the GN modularity improve the quality of the detected communities and we also find an information theoretic justification of why the ZM criterion for estimation of the number of network communities is better than alternative approaches such as the bare minimization of a free energy.

physics.soc-ph↗

arXiv2018

Reconstruction methods for networks: the case of economic and financial systems

When studying social, economic and biological systems, one has often access to only limited information about the structure of the underlying networks. An example of paramount importance is provided by financial systems: information on the interconnections between financial institutions is privacy-protected, dramatically reducing the possibility of correctly estimating crucial systemic properties such as the resilience to the propagation of shocks. The need to compensate for the scarcity of data, while optimally employing the available information, has led to the birth of a research field known as network reconstruction. Since the latter has benefited from the contribution of researchers working in disciplines as different as mathematics, physics and economics, the results achieved so far are still scattered across heterogeneous publications. Most importantly, a systematic comparison of the network reconstruction methods proposed up to now is currently missing. This review aims at providing a unifying framework to present all these studies, mainly focusing on their application to economic and financial networks.

physics.soc-ph↗

arXiv2018

Entropy-based approach to missing-links prediction

Link-prediction is an active research field within network theory, aiming at uncovering missing connections or predicting the emergence of future relationships from the observed network structure. This paper represents our contribution to the stream of research concerning missing links prediction. Here, we propose an entropy-based method to predict a given percentage of missing links, by identifying them with the most probable non-observed ones. The probability coefficients are computed by solving opportunely defined null-models over the accessible network structure. Upon comparing our likelihood-based, local method with the most popular algorithms over a set of economic, financial and food networks, we find ours to perform best, as pointed out by a number of statistical indicators (e.g. the precision, the area under the ROC curve, etc.). Moreover, the entropy-based formalism adopted in the present paper allows us to straightforwardly extend the link-prediction exercise to directed networks as well, thus overcoming one of the main limitations of current algorithms. The higher accuracy achievable by employing these methods - together with their larger flexibility - makes them strong competitors of available link-prediction algorithms.

physics.soc-ph↗

arXiv2018

Entropy-based randomisation of rating networks

In the last years, due to the great diffusion of e-commerce, online rating platforms quickly became a common tool for purchase recommendations. However, instruments for their analysis did not evolve at the same speed. Indeed, interesting information about users' habits and tastes can be recovered just considering the bipartite network of users and products, in which links have different weights due to the score assigned to items. With respect to other weighted bipartite networks, in these systems we observe a maximum possible weight per link, that limits the variability of the outcomes. In the present article we propose an entropy-based randomisation of (bipartite) rating networks by extending the Configuration Model framework: the randomised network satisfies the constraints of the degree per rating, i.e. the number of given ratings received by the specified product or assigned by the single user. We first show that such a null model is able to reproduce several non-trivial features of the real network better than other null models. Then, using it as a benchmark, we project the information contained in the real system on one of the layers, showing, for instance, the division in communities of music albums due to the taste of customers, or, in movies due the audience.

physics.soc-ph↗

arXiv2018

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.

physics.soc-ph↗

arXiv2018

Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis

Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This paradigm has recently been challenged for short time scales, where interbank markets seem better characterised by a bipartite structure with more core-periphery connections than inside the core. Using a novel core-periphery detection method on the eMID interbank market, we enrich this picture by showing that the network is actually characterised by multiple core-periphery pairs. Moreover, a transition from core-periphery to bipartite structures occurs by shortening the temporal scale of data aggregation. We further show how the global financial crisis transformed the market, in terms of composition, multiplicity and internal organisation of core-periphery pairs. By unveiling such a fine-grained organisation and transformation of the interbank market, our method can find important applications in the understanding of how distress can propagate over financial networks.

q-fin.RM↗

arXiv2018

The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis

Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the bipartite network of US mutual fund portfolios and their assets. We follow its evolution during the Global Financial Crisis and analyse the interplay between diversification, as understood in classical portfolio theory, and similarity of the investments of different funds. We show that, on average, portfolios have become more diversified and less similar during the crisis. However, we also find that large overlap is far more likely than expected from models of random allocation of investments. This indicates the existence of strong correlations between fund portfolio strategies. We introduce a simplified model of propagation of financial shocks, that we exploit to show that a systemic risk component origins from the similarity of portfolios. The network is still vulnerable after crisis because of this effect, despite the increase in the diversification of portfolios. Our results indicate that diversification may even increase systemic risk when funds diversify in the same way. Diversification and similarity can play antagonistic roles and the trade-off between the two should be taken into account to properly assess systemic risk.

q-fin.ST↗

arXiv2017

Statistical validation of financial time series via visibility graph

Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction represents an unsolved scientific challenge yet with crucial implications for society, as financial crises have devastating effects on real economies. Thus, nowadays the quest for a robust estimator of market efficiency is both a scientific and institutional priority. In this work we study the visibility graphs built from the time series of several trade market indices. We propose a validation procedure for each link of these graphs against a null hypothesis derived from ARCH-type modeling of such series. Building on this framework, we devise a market indicator that turns out to be highly correlated and even predictive of financial instability periods.

q-fin.RM↗

arXiv2017

From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks

Bipartite networks provide an insightful representation of many systems, ranging from mutualistic networks of species interactions to investment networks in finance. The analysis of their topological structures has revealed the ubiquitous presence of properties which seem to characterize many - apparently different - systems. Nestedness, for example, has been observed in plants-pollinator as well as in country-product trade networks. This has raised questions about the significance of these patterns, which are often believed to constitute a genuine signature of self-organization. Here, we review several methods that have been developed for the analysis of such evidence. Due to the interdisciplinary character of complex networks, tools developed in one field, for example ecology, can greatly enrich other areas of research, such as economy and finance, and vice versa. With this in mind, we briefly review several entropy-based bipartite null models that have been recently proposed and discuss their application to several real-world systems. The focus on these models is motivated by the fact that they show three very desirable features: analytical character, general applicability and versatility. In this respect, entropy-based methods have been proven to perform satisfactorily both in providing benchmarks for testing evidence-based null hypotheses and in reconstructing unknown network configurations from partial information. On top of that, entropy-based models have been successfully employed to analyze ecological as well as economic systems, thus representing an ideal, interdisciplinary tool to approach the study of bipartite complex systems. [...]

physics.soc-ph↗