Dror Kenett | Boston University (original) (raw)

Papers by Dror Kenett

Proceedings of the National Academy of Sciences, 2018

Flexibility of thought is theorized to play a critical role in the ability of high creative indiv... more Flexibility of thought is theorized to play a critical role in the ability of high creative individuals to generate novel and innovative ideas. However, this has been examined only through indirect behavioral measures. Here we use network percolation analysis (removal of links in a network whose strength is below an increasing threshold) to computationally examine the robustness of the semantic memory networks of low and high creative individuals. Robustness of a network indicates its flexibility and thus can be used to quantify flexibility of thought as related to creativity. This is based on the assumption that the higher the robustness of the semantic network, the higher its flexibility. Our analysis reveals that the semantic network of high creative individuals is more robust to network percolation compared with the network of low creative individuals and that this higher robustness is related to differences in the structure of the networks. Specifically, we find that this higher robustness is related to stronger links connecting between different components of similar semantic words in the network, which may also help to facilitate spread of activation over their network. Thus, we directly and quantitatively examine the relation between flexibility of thought and creative ability. Our findings support the associative theory of creativity, which posits that high creative ability is related to a flexible structure of semantic memory. Finally, this approach may have further implications, by enabling a quantitative examination of flexibility of thought, in both healthy and clinical populations

All flows of secured funding in the financial system are met by flows of collateral in the opposi... more All flows of secured funding in the financial system are met by flows of collateral in the opposite direction. A network depicting secured funding flows thus implicitly reveals a network of collateral flows. Collateral can also be presented as its own network to show collateral arrangements with bilateral counterparties, triparty banks, and central counterparties; the purpose and incentives of collateral exchanges; and participants involved. We create a collateral map to show how this function of the financial system works, especially with secured funding and derivatives activity. This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries, and examples of risks and vulnerabilities in collateral flows.

The global financial system is highly complex, with cross-border interconnections and interdepend... more The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. New models are needed to capture the structure of the global financial village and uncover channels of spillover and contagion. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the global stock market. The energy, materials, and financial sectors play an important role in connecting markets, and this role has increased over time for the energy and materials sectors. The framework provides the means to monitor interconnectedness in the global financial system on different aggregation levels, and to show how they evolve in time.

This brief introduces a multilayer map to show how risks can emerge and spread across the U.S. fn... more This brief introduces a multilayer map to show how risks can emerge and spread across the U.S. fnancial system. The three layers in the map represent short-term funding, assets, and collateral fows. Risk is transformed and moves from one layer of the map to the next through transactions among large market players. This brief uses the diffculties faced by Bear Stearns and its two failed hedge funds during the fnancial crisis as a case study to illustrate how the multilayer map can shed light on potential vulnerabilities and paths of contagion. The map requires detailed data to illustrate the full scope of interconnections in the fnancial system

Large bank holding companies (BHCs) are structured into intricate ownership hierarchies involving... more Large bank holding companies (BHCs) are structured into intricate ownership hierarchies involving hundreds or even thousands of legal entities. Each subsidiary in these hierarchies has its own legal form, assets, liabilities, managerial goals, and supervisory authorities. In the event of BHC default or insolvency, regulators may need to resolve the BHC and its constituent entities. Each entity individually will require some mix of cash infusion, outside purchase, consolidation with other subsidiaries, legal guarantees, and outright dissolution. The subsidiaries are not resolved in isolation, of course, but in the context of resolving the consolidated BHC at the top of the hierarchy. The number, diversity, and distribution of subsidiaries within the hierarchy can therefore significantly ease or complicate the resolution process. We propose a set of related metrics intended to assess the complexity of the BHC ownership graph. These proposed metrics focus on the graph quotient relative to certain well identified partitions on the set of subsidiaries, such as charter type and regulatory jurisdiction. The intended measures are mathematically grounded, intuitively sensible, and easy to implement. We illustrate the process with a case study of one large U.S. BHC.

PLOS ONE, 2015

Can online media predict new and emerging trends, since there is a relationship between trends in... more Can online media predict new and emerging trends, since there is a relationship between trends in society and their representation in online systems? While several recent studies have used Google Trends as the leading online information source to answer corresponding research questions, we focus on the online encyclopedia Wikipedia often used for deeper topical reading. Wikipedia grants open access to all traffic data and provides lots of additional (semantic) information in a context network besides single keywords. Specifically, we suggest and study context-normalized and time-dependent measures for a topic's importance based on page-view time series of Wikipedia articles in different languages and articles related to them by internal links. As an example, we present a study of the recently emerging Big Data market with a focus on the Hadoop ecosystem, and compare the capabilities of Wikipedia versus Google in predicting its popularity and life cycles. To support further applications, we have developed an open web platform to share results of Wikipedia analytics, providing context-rich and language-independent relevance measures for emerging trends.

Http Dx Doi Org 10 1080 14697688 2014 946660, Mar 11, 2015

The presence of significant cross-correlations between the synchronous time evolution of a pair o... more The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure whether other stocks influence the relationship between them. To explore the influence of a third stock on the relationship between two stocks, we use a partial correlation measurement to determine the underlying relationships between financial assets. Building on previous work, we present a statistically robust approach to extract the underlying relationships between stocks from four different financial markets: the United States, the United Kingdom, Japan, and India. This methodology provides new insights into financial market dynamics and uncovers implicit influences in play between stocks. To demonstrate the capabilities of this methodology, we (i) quantify the influence of different companies and, by studying market similarity across time, present new insights into market structure and market stability, and (ii) we present a practical application, which provides information on the how a company is influenced by different economic sectors, and how the sectors interact with each other. These examples demonstrate the effectiveness of this methodology in uncovering information valuable for a range of individuals, including not only investors and traders but also regulators and policy makers.

Physical Review E, 2015

Modularity is a key organizing principle in real-world large-scale complex networks. The relative... more Modularity is a key organizing principle in real-world large-scale complex networks. The relatively sparse interactions between modules are critical to the functionality of the system and are often the first to fail. We model such failures as site percolation targeting interconnected nodes, those connecting between modules. We find, using percolation theory and simulations, that they lead to a "tipping point" between two distinct regimes. In one regime, removal of interconnected nodes fragments the modules internally and causes the system to collapse. In contrast, in the other regime, while only attacking a small fraction of nodes, the modules remain but become disconnected, breaking the entire system. We show that networks with broader degree distribution might be highly vulnerable to such attacks since only few nodes are needed to interconnect the modules, consequently putting the entire system at high risk. Our model has the potential to shed light on many real-world phenomena, and we briefly consider its implications on recent advances in the understanding of several neurocognitive processes and diseases.

Physica A: Statistical Mechanics and its Applications, 2015

• We present a new measure to investigate the structure of financial markets. • The evolution of ... more • We present a new measure to investigate the structure of financial markets. • The evolution of economic sectoral activities can be discerned by eigenvectors.

DESCRIPTION Can online media predict new and emerging trends? The underlying assumption is that a... more DESCRIPTION Can online media predict new and emerging trends? The underlying assumption is that a direct relationship exists between trends in emerging technological and social trends and their representation in online systems. While several recent studies have focused on Google as the leading online information source to answer this question, much less attention has been given to Wikipedia in this context. We present here a study of the recently emerging Big Data market with a focus on the Hadoop ecosystem, and compare the capabilities of Wikipedia versus Google in predicting its popularity and life cycles. To this end, we developed a web platform for Wikipedia analytics, the ETOSHA platform, providing a context rich, language independent, relevance measures for upcoming and emerging trends.

Journal of Banking & Finance, 2015

The increasing frequency and scope of financial crises has made global financial stability one of... more The increasing frequency and scope of financial crises has made global financial stability one of the major concerns of economic policy and decision makers. Under this highly complex environment, financial and banking supervision has to be thought as a systemic task, focusing not only on the strength of the institutions but also on the interdependent relations among them, unraveling the structure and dynamic of the system under surveillance. Using network theory, we develope a dynamic model to reveal the systemic structure of a banking system, to analyze its sensibility to external shocks and to evaluate the presence of contagious underlying features of the system. As a case study, we make use of the Venezuelan banking system in the period of 1998-2013. The introduced model was able to capture, in a dynamic way, changes in the structure of the system and the sensibility of banks portfolio to external shocks. Results suggest the fruitfulness of this kind of approach to policy makers and supervision agencies to address macro-prudential dynamical stress testing and regulation.

Physica A: Statistical Mechanics and its Applications, 2014

ABSTRACT Various studies have reported that many economic systems have been exhibiting an increas... more ABSTRACT Various studies have reported that many economic systems have been exhibiting an increase in the correlation between different market sectors, a factor that exacerbates the level of systemic risk. We measure this systemic risk of three major world shipping markets, (i) the new ship market, (ii) the second-hand ship market, and (iii) the freight market, as well as the shipping stock market. Based on correlation networks during three time periods, that prior to the financial crisis, during the crisis, and after the crisis, minimal spanning trees (MSTs) and hierarchical trees (HTs) both exhibit complex dynamics, i.e., different market sectors tend to be more closely linked during financial crisis. Brownian distance correlation and Granger causality test both can be used to explore the directional interconnectedness of market sectors, while Brownian distance correlation captures more dependent relationships, which are not observed in the Granger causality test. These two measures can also identify and quantify market regression periods, implying that they contain predictive power for the current crisis.

Quantitative Finance, 2014

The presence of significant cross-correlations between the synchronous time evolution of a pair o... more The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure whether other stocks influence the relationship between them. To explore the influence of a third stock on the relationship between two stocks, we use a partial correlation measurement to determine the underlying relationships between financial assets. Building on previous work, we present a statistically robust approach to extract the underlying relationships between stocks from four different financial markets: the United States, the United Kingdom, Japan, and India. This methodology provides new insights into financial market dynamics and uncovers implicit influences in play between stocks. To demonstrate the capabilities of this methodology, we (i) quantify the influence of different companies and, by studying market similarity across time, present new insights into market structure and market stability, and (ii) we present a practical application, which provides information on the how a company is influenced by different economic sectors, and how the sectors interact with each other. These examples demonstrate the effectiveness of this methodology in uncovering information valuable for a range of individuals, including not only investors and traders but also regulators and policy makers.

Chaos, Solitons & Fractals, 2015

Our dependence on networks -be they infrastructure, economic, social or others -leaves us prone t... more Our dependence on networks -be they infrastructure, economic, social or others -leaves us prone to crises caused by the vulnerabilities of these networks. There is a great need to develop new methods to protect infrastructure networks and prevent cascade of failures (especially in cases of coupled networks). Terrorist attacks on transportation networks have traumatized modern societies. With a single blast, it has become possible to paralyze airline traffic, electric power supply, ground transportation or Internet communication. How, and at which cost can one restructure the network such that it will become more robust against malicious attacks? The gradual increase in attacks on the networks society depends on -Internet, mobile phone, transportation, air travel, banking, etc. -emphasize the need to develop new strategies to protect and defend these crucial networks of communication and infrastructure networks. One example is the threat of liquid explosives a few years ago, which completely shut down air travel for days, and has created extreme changes in regulations. Such threats and dangers warrant the need for new tools and strategies to defend critical infrastructure. In this paper we review recent advances in the theoretical understanding of the vulnerabilities of interdependent networks with and without spatial embedding, attack strategies and their affect on such networks of networks as well as recently developed strategies to optimize and repair failures caused by such attacks. a

Complex networks often have a modular structure, where a number of tightlyconnected groups of nod... more Complex networks often have a modular structure, where a number of tightlyconnected groups of nodes (modules) have relatively few interconnections. Modularity had been shown to have an important effect on the evolution and stability of biological networks [1], on the scalability and efficiency of large-scale infrastructure [2, 3], and the development of economic and social systems . An analytical framework for understanding modularity and its effects on network vulnerability is still missing. Through recent advances in the understanding of multilayer networks [6-8], however, it is now possible to develop a theoretical framework to systematically study this critical issue. Here we study, analytically and numerically, the resilience of modular networks under attacks on interconnected nodes, which exhibit high betweenness values [9, 10] and are often more exposed to failure . Our model provides new understandings into the feedback between structure and function in real world systems, and consequently has important implications as diverse as developing efficient immunization strategies, designing robust large-scale infrastructure, and understanding brain function.

Advances in Experimental Medicine and Biology, 2012

Antibody networks have been studied in the past based on the connectivity between idiotypes and a... more Antibody networks have been studied in the past based on the connectivity between idiotypes and anti-idiotypes-antibodies that bind one another. Here we call attention to a different network of antibodies, antibodies connected by their reactivities to sets of antigens-the antigen-reactivity network. The recent development of antigen microarray chip technology for detecting global patterns of antibody reactivities makes it possible to study the immune system quantitatively using network analysis tools. Here, we review the analyses of IgM and IgG autoantibody reactivities of sera of mothers and their offspring (umbilical cords) to 300 defined self-antigens; the autoantibody reactivities present in cord blood represent the natural autoimmune repertories with which healthy humans begin life and the mothers' reactivities reflect the development of the repertoires in healthy young adults. Comparing the cord and maternal reactivities using several analytic tools led to the following conclusions: (1) The IgG repertoires showed a high correlation between each mother and her newborn; the IgM repertoires of all the cords were very similar and each cord differed from its mother's IgM repertoire. Thus, different humans are born with very similar IgM autoantibodies produced in utero and with unique IgG autoantibodies found in their individual mothers. (2) Autoantibody repertoires appear to be structured into sets of reactivities that are organized into cliques-reactivities to particular antigens are correlated. (3) Autoantibody repertoires are organized as networks of reactivities in which certain key antigen reactivities dominate the network-the dominant antigen reactivities manifest a "causal" relationship to sets of other correlated reactivities. Thus, repertoires of autoantibodies in healthy subjects, the immunological homunculus, are structured in hierarchies of antigen reactivities.

Proceedings of the National Academy of Sciences, 2018

Flexibility of thought is theorized to play a critical role in the ability of high creative indiv... more Flexibility of thought is theorized to play a critical role in the ability of high creative individuals to generate novel and innovative ideas. However, this has been examined only through indirect behavioral measures. Here we use network percolation analysis (removal of links in a network whose strength is below an increasing threshold) to computationally examine the robustness of the semantic memory networks of low and high creative individuals. Robustness of a network indicates its flexibility and thus can be used to quantify flexibility of thought as related to creativity. This is based on the assumption that the higher the robustness of the semantic network, the higher its flexibility. Our analysis reveals that the semantic network of high creative individuals is more robust to network percolation compared with the network of low creative individuals and that this higher robustness is related to differences in the structure of the networks. Specifically, we find that this higher robustness is related to stronger links connecting between different components of similar semantic words in the network, which may also help to facilitate spread of activation over their network. Thus, we directly and quantitatively examine the relation between flexibility of thought and creative ability. Our findings support the associative theory of creativity, which posits that high creative ability is related to a flexible structure of semantic memory. Finally, this approach may have further implications, by enabling a quantitative examination of flexibility of thought, in both healthy and clinical populations

All flows of secured funding in the financial system are met by flows of collateral in the opposi... more All flows of secured funding in the financial system are met by flows of collateral in the opposite direction. A network depicting secured funding flows thus implicitly reveals a network of collateral flows. Collateral can also be presented as its own network to show collateral arrangements with bilateral counterparties, triparty banks, and central counterparties; the purpose and incentives of collateral exchanges; and participants involved. We create a collateral map to show how this function of the financial system works, especially with secured funding and derivatives activity. This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries, and examples of risks and vulnerabilities in collateral flows.

The global financial system is highly complex, with cross-border interconnections and interdepend... more The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. New models are needed to capture the structure of the global financial village and uncover channels of spillover and contagion. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the global stock market. The energy, materials, and financial sectors play an important role in connecting markets, and this role has increased over time for the energy and materials sectors. The framework provides the means to monitor interconnectedness in the global financial system on different aggregation levels, and to show how they evolve in time.

This brief introduces a multilayer map to show how risks can emerge and spread across the U.S. fn... more This brief introduces a multilayer map to show how risks can emerge and spread across the U.S. fnancial system. The three layers in the map represent short-term funding, assets, and collateral fows. Risk is transformed and moves from one layer of the map to the next through transactions among large market players. This brief uses the diffculties faced by Bear Stearns and its two failed hedge funds during the fnancial crisis as a case study to illustrate how the multilayer map can shed light on potential vulnerabilities and paths of contagion. The map requires detailed data to illustrate the full scope of interconnections in the fnancial system

Large bank holding companies (BHCs) are structured into intricate ownership hierarchies involving... more Large bank holding companies (BHCs) are structured into intricate ownership hierarchies involving hundreds or even thousands of legal entities. Each subsidiary in these hierarchies has its own legal form, assets, liabilities, managerial goals, and supervisory authorities. In the event of BHC default or insolvency, regulators may need to resolve the BHC and its constituent entities. Each entity individually will require some mix of cash infusion, outside purchase, consolidation with other subsidiaries, legal guarantees, and outright dissolution. The subsidiaries are not resolved in isolation, of course, but in the context of resolving the consolidated BHC at the top of the hierarchy. The number, diversity, and distribution of subsidiaries within the hierarchy can therefore significantly ease or complicate the resolution process. We propose a set of related metrics intended to assess the complexity of the BHC ownership graph. These proposed metrics focus on the graph quotient relative to certain well identified partitions on the set of subsidiaries, such as charter type and regulatory jurisdiction. The intended measures are mathematically grounded, intuitively sensible, and easy to implement. We illustrate the process with a case study of one large U.S. BHC.

PLOS ONE, 2015

Can online media predict new and emerging trends, since there is a relationship between trends in... more Can online media predict new and emerging trends, since there is a relationship between trends in society and their representation in online systems? While several recent studies have used Google Trends as the leading online information source to answer corresponding research questions, we focus on the online encyclopedia Wikipedia often used for deeper topical reading. Wikipedia grants open access to all traffic data and provides lots of additional (semantic) information in a context network besides single keywords. Specifically, we suggest and study context-normalized and time-dependent measures for a topic's importance based on page-view time series of Wikipedia articles in different languages and articles related to them by internal links. As an example, we present a study of the recently emerging Big Data market with a focus on the Hadoop ecosystem, and compare the capabilities of Wikipedia versus Google in predicting its popularity and life cycles. To support further applications, we have developed an open web platform to share results of Wikipedia analytics, providing context-rich and language-independent relevance measures for emerging trends.

Http Dx Doi Org 10 1080 14697688 2014 946660, Mar 11, 2015

The presence of significant cross-correlations between the synchronous time evolution of a pair o... more The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure whether other stocks influence the relationship between them. To explore the influence of a third stock on the relationship between two stocks, we use a partial correlation measurement to determine the underlying relationships between financial assets. Building on previous work, we present a statistically robust approach to extract the underlying relationships between stocks from four different financial markets: the United States, the United Kingdom, Japan, and India. This methodology provides new insights into financial market dynamics and uncovers implicit influences in play between stocks. To demonstrate the capabilities of this methodology, we (i) quantify the influence of different companies and, by studying market similarity across time, present new insights into market structure and market stability, and (ii) we present a practical application, which provides information on the how a company is influenced by different economic sectors, and how the sectors interact with each other. These examples demonstrate the effectiveness of this methodology in uncovering information valuable for a range of individuals, including not only investors and traders but also regulators and policy makers.

Physical Review E, 2015

Modularity is a key organizing principle in real-world large-scale complex networks. The relative... more Modularity is a key organizing principle in real-world large-scale complex networks. The relatively sparse interactions between modules are critical to the functionality of the system and are often the first to fail. We model such failures as site percolation targeting interconnected nodes, those connecting between modules. We find, using percolation theory and simulations, that they lead to a "tipping point" between two distinct regimes. In one regime, removal of interconnected nodes fragments the modules internally and causes the system to collapse. In contrast, in the other regime, while only attacking a small fraction of nodes, the modules remain but become disconnected, breaking the entire system. We show that networks with broader degree distribution might be highly vulnerable to such attacks since only few nodes are needed to interconnect the modules, consequently putting the entire system at high risk. Our model has the potential to shed light on many real-world phenomena, and we briefly consider its implications on recent advances in the understanding of several neurocognitive processes and diseases.

Physica A: Statistical Mechanics and its Applications, 2015

• We present a new measure to investigate the structure of financial markets. • The evolution of ... more • We present a new measure to investigate the structure of financial markets. • The evolution of economic sectoral activities can be discerned by eigenvectors.

DESCRIPTION Can online media predict new and emerging trends? The underlying assumption is that a... more DESCRIPTION Can online media predict new and emerging trends? The underlying assumption is that a direct relationship exists between trends in emerging technological and social trends and their representation in online systems. While several recent studies have focused on Google as the leading online information source to answer this question, much less attention has been given to Wikipedia in this context. We present here a study of the recently emerging Big Data market with a focus on the Hadoop ecosystem, and compare the capabilities of Wikipedia versus Google in predicting its popularity and life cycles. To this end, we developed a web platform for Wikipedia analytics, the ETOSHA platform, providing a context rich, language independent, relevance measures for upcoming and emerging trends.

Journal of Banking & Finance, 2015

The increasing frequency and scope of financial crises has made global financial stability one of... more The increasing frequency and scope of financial crises has made global financial stability one of the major concerns of economic policy and decision makers. Under this highly complex environment, financial and banking supervision has to be thought as a systemic task, focusing not only on the strength of the institutions but also on the interdependent relations among them, unraveling the structure and dynamic of the system under surveillance. Using network theory, we develope a dynamic model to reveal the systemic structure of a banking system, to analyze its sensibility to external shocks and to evaluate the presence of contagious underlying features of the system. As a case study, we make use of the Venezuelan banking system in the period of 1998-2013. The introduced model was able to capture, in a dynamic way, changes in the structure of the system and the sensibility of banks portfolio to external shocks. Results suggest the fruitfulness of this kind of approach to policy makers and supervision agencies to address macro-prudential dynamical stress testing and regulation.

Physica A: Statistical Mechanics and its Applications, 2014

ABSTRACT Various studies have reported that many economic systems have been exhibiting an increas... more ABSTRACT Various studies have reported that many economic systems have been exhibiting an increase in the correlation between different market sectors, a factor that exacerbates the level of systemic risk. We measure this systemic risk of three major world shipping markets, (i) the new ship market, (ii) the second-hand ship market, and (iii) the freight market, as well as the shipping stock market. Based on correlation networks during three time periods, that prior to the financial crisis, during the crisis, and after the crisis, minimal spanning trees (MSTs) and hierarchical trees (HTs) both exhibit complex dynamics, i.e., different market sectors tend to be more closely linked during financial crisis. Brownian distance correlation and Granger causality test both can be used to explore the directional interconnectedness of market sectors, while Brownian distance correlation captures more dependent relationships, which are not observed in the Granger causality test. These two measures can also identify and quantify market regression periods, implying that they contain predictive power for the current crisis.

Quantitative Finance, 2014

The presence of significant cross-correlations between the synchronous time evolution of a pair o... more The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure whether other stocks influence the relationship between them. To explore the influence of a third stock on the relationship between two stocks, we use a partial correlation measurement to determine the underlying relationships between financial assets. Building on previous work, we present a statistically robust approach to extract the underlying relationships between stocks from four different financial markets: the United States, the United Kingdom, Japan, and India. This methodology provides new insights into financial market dynamics and uncovers implicit influences in play between stocks. To demonstrate the capabilities of this methodology, we (i) quantify the influence of different companies and, by studying market similarity across time, present new insights into market structure and market stability, and (ii) we present a practical application, which provides information on the how a company is influenced by different economic sectors, and how the sectors interact with each other. These examples demonstrate the effectiveness of this methodology in uncovering information valuable for a range of individuals, including not only investors and traders but also regulators and policy makers.

Chaos, Solitons & Fractals, 2015

Our dependence on networks -be they infrastructure, economic, social or others -leaves us prone t... more Our dependence on networks -be they infrastructure, economic, social or others -leaves us prone to crises caused by the vulnerabilities of these networks. There is a great need to develop new methods to protect infrastructure networks and prevent cascade of failures (especially in cases of coupled networks). Terrorist attacks on transportation networks have traumatized modern societies. With a single blast, it has become possible to paralyze airline traffic, electric power supply, ground transportation or Internet communication. How, and at which cost can one restructure the network such that it will become more robust against malicious attacks? The gradual increase in attacks on the networks society depends on -Internet, mobile phone, transportation, air travel, banking, etc. -emphasize the need to develop new strategies to protect and defend these crucial networks of communication and infrastructure networks. One example is the threat of liquid explosives a few years ago, which completely shut down air travel for days, and has created extreme changes in regulations. Such threats and dangers warrant the need for new tools and strategies to defend critical infrastructure. In this paper we review recent advances in the theoretical understanding of the vulnerabilities of interdependent networks with and without spatial embedding, attack strategies and their affect on such networks of networks as well as recently developed strategies to optimize and repair failures caused by such attacks. a

Complex networks often have a modular structure, where a number of tightlyconnected groups of nod... more Complex networks often have a modular structure, where a number of tightlyconnected groups of nodes (modules) have relatively few interconnections. Modularity had been shown to have an important effect on the evolution and stability of biological networks [1], on the scalability and efficiency of large-scale infrastructure [2, 3], and the development of economic and social systems . An analytical framework for understanding modularity and its effects on network vulnerability is still missing. Through recent advances in the understanding of multilayer networks [6-8], however, it is now possible to develop a theoretical framework to systematically study this critical issue. Here we study, analytically and numerically, the resilience of modular networks under attacks on interconnected nodes, which exhibit high betweenness values [9, 10] and are often more exposed to failure . Our model provides new understandings into the feedback between structure and function in real world systems, and consequently has important implications as diverse as developing efficient immunization strategies, designing robust large-scale infrastructure, and understanding brain function.

Advances in Experimental Medicine and Biology, 2012

Antibody networks have been studied in the past based on the connectivity between idiotypes and a... more Antibody networks have been studied in the past based on the connectivity between idiotypes and anti-idiotypes-antibodies that bind one another. Here we call attention to a different network of antibodies, antibodies connected by their reactivities to sets of antigens-the antigen-reactivity network. The recent development of antigen microarray chip technology for detecting global patterns of antibody reactivities makes it possible to study the immune system quantitatively using network analysis tools. Here, we review the analyses of IgM and IgG autoantibody reactivities of sera of mothers and their offspring (umbilical cords) to 300 defined self-antigens; the autoantibody reactivities present in cord blood represent the natural autoimmune repertories with which healthy humans begin life and the mothers' reactivities reflect the development of the repertoires in healthy young adults. Comparing the cord and maternal reactivities using several analytic tools led to the following conclusions: (1) The IgG repertoires showed a high correlation between each mother and her newborn; the IgM repertoires of all the cords were very similar and each cord differed from its mother's IgM repertoire. Thus, different humans are born with very similar IgM autoantibodies produced in utero and with unique IgG autoantibodies found in their individual mothers. (2) Autoantibody repertoires appear to be structured into sets of reactivities that are organized into cliques-reactivities to particular antigens are correlated. (3) Autoantibody repertoires are organized as networks of reactivities in which certain key antigen reactivities dominate the network-the dominant antigen reactivities manifest a "causal" relationship to sets of other correlated reactivities. Thus, repertoires of autoantibodies in healthy subjects, the immunological homunculus, are structured in hierarchies of antigen reactivities.