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Self-Organized Criticality In A Model Of Collective Bank Bankruptcies

Author

Listed:
  • AGATA ALEKSIEJUK

    (Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland;
    Institute for Economics and Traffic, Dresden University of Technology, Andreas-Schubert-Straβe 23, D-01062 Dresden, Germany)

  • JANUSZ A. HOŁYST

    (Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland;
    Institute for Economics and Traffic, Dresden University of Technology, Andreas-Schubert-Straβe 23, D-01062 Dresden, Germany)

  • GUEORGI KOSSINETS

    (Department of Sociology, Columbia University, 413 Fayerweather Hall, 1180 Amsterdam Ave., Mail Code 2551, New York, NY 10027, USA)

Abstract

The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financial market. We recognize the power law distribution of contagion sizes in 3d- and 4d-networks as an indicator of SOC behavior. The SOC dynamics was not detected in 2d-lattices. The difference between 2d- and 3d- or 4d-systems is explained due to the percolation theory.

Suggested Citation

  • Agata Aleksiejuk & Janusz A. Hołyst & Gueorgi Kossinets, 2002. "Self-Organized Criticality In A Model Of Collective Bank Bankruptcies," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 333-341.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:03:n:s0129183102003164
    DOI: 10.1142/S0129183102003164
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    Cited by:

    1. Tao Xu & Jianmin He & Shouwei Li, 2016. "Multi-Channel Contagion In Dynamic Interbank Market Network," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 19(06n07), pages 1-25, September.
    2. Paluch, Robert & Gajewski, Łukasz G. & Suchecki, Krzysztof & Hołyst, Janusz A., 2021. "Impact of interactions between layers on source localization in multilayer networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).

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