Cascading failures in the global financial system: A dynamical model

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-05-22 DOI:10.1016/j.orl.2024.107122

Leonardo Stella , Dario Bauso , Franco Blanchini , Patrizio Colaneri

引用次数: 0

Abstract

In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system and develop a framework to investigate under which conditions organizations remain healthy. The contribution of this paper is threefold: i) we develop a dynamical model that describes the time evolution of the organizations' equity values given nonequilibrium initial conditions; ii) we characterize the equilibria for this model; and iii) we provide a computational method to anticipate potential propagation of failures.

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全球金融体系的连锁失败：动态模型

在本文中，我们提出了一个动态模型来捕捉全球金融体系中相互关联的组织之间的级联故障，并建立了一个框架来研究在哪些条件下组织仍能保持健康。本文有三方面的贡献：i) 我们建立了一个动态模型，描述了在非平衡初始条件下各组织股权价值的时间演化；ii) 我们描述了该模型的平衡状态；iii) 我们提供了一种计算方法来预测潜在的故障传播。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.