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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 18: Finanzm
ärkte und Risikomanagement II
AKSOE 18.1: Invited Talk
Thursday, March 14, 2002, 09:30–10:15, H8
Collective bank bankruptcies and self-organized criticality — •Janusz Hołyst1, Agata Aleksiejuk1, and Gueorgi Kossinets2 — 1Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland — 2Department of Sociology, Columbia University, 413 Fayerweather Hall, 1180 Amsterdam Ave.Mail Code 2551, New York, NY 10027, USA,
We propose a simple model of banking networks based on random directed
percolation. In comparison to previous work (1), the major development of
the present model is the implementation of the concept of banking balance,
which when positive, can be invested to make profits, but when negative,
must be refilled to prevent the loss of liquidity. Directed connections
between the nodes of bank lattice simulate flows of money. We study
effects of one bank’s failure on the nucleation of contagion phase in a
financial market (2). Computer simulations were done for square, cubic and
four-dimensional hypercubic lattices. We recognize the power law
distribution of contagion sizes in three- and four-dimensional networks as
an indicator of self-organized critical behavior of the model. SOC dynamics
was not detected in two-dimensional lattices. The difference between two-
and three- or four-dimensional systems was explained in terms of
percolation theory.
(1) A. Aleksiejuk, J.A. Hołyst, arXiv.org/abs/cond-mat/0109119, Physica
A 299, 198-204 (2001).
(2) A. Aleksiejuk, J. A. Hołyst, Gueorgi Kossinets,
arXiv.org/abs/cond-mat/0111586, Int. J. Mod. Phys. C 13, No. 3 (in press).