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arXiv 1409.2625physics.soc-phq-fin.RM
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互动经济中的传染

Contagion in an interacting economy

Pierre Paga, Reimer Kühn

摘要:

我们在更一般的假设下研究了Hatchett & Kühn定义的信用风险模型,特别是使用稀疏图的一般度分布。扩展早期的结果,我们表明,该模型是完全可解的$N\rightarrow \infty$限制,并证明了精确的解决方案所描述的消息传递方法概述的卡雷尔和纽曼,广义包括异构代理和耦合。我们提供了与模拟幂律度分布的图集成的比较。

英文摘要:

We investigate the credit risk model defined in Hatchett & Kühn under more general assumptions, in particular using a general degree distribution for sparse graphs. Expanding upon earlier results, we show that the model is exactly solvable in the $N\rightarrow \infty$ limit and demonstrate that the exact solution is described by the message-passing approach outlined by Karrer and Newman, generalized to include heterogeneous agents and couplings. We provide comparisons with simulations of graph ensembles with power-law degree distributions.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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