Configuration models as an urn problem.

A fundamental issue of network data science is the ability to discern observed features that can be expected at random from those beyond such expectations. Configuration models play a crucial role there, allowing us to compare observations against degree-corrected null-models. Nonetheless, existing formulations have limited large-scale data analysis applications either because they require expensive Monte-Carlo simulations or lack the required flexibility to model real-world systems. With the generalized hypergeometric ensemble, we address both problems. To achieve this, we map the configuration model to an urn problem, where edges are represented as balls in an appropriately constructed urn. Doing so, we obtain the generalized hypergeometric ensemble of random graphs: a random graph model reproducing and extending the properties of standard configuration models, with the critical advantage of a closed-form probability distribution.

Multilayer network approach to modeling authorship influence on citation dynamics in physics journals.

We provide a general framework to model the growth of networks consisting of different coupled layers. Our aim is to estimate the impact of one such layer on the dynamics of the others. As an application, we study a scientometric network, where one layer consists of publications as nodes and citations as links, whereas the second layer represents the authors. This allows us to address the question of how characteristics of authors, such as their number of publications or number of previous coauthors, impacts the citation dynamics of a new publication. To test different hypotheses about this impact, our model combines citation constituents and social constituents in different ways. We then evaluate their performance in reproducing the citation dynamics in nine different physics journals. For this, we develop a general method for statistical parameter estimation and model selection that is applicable to growing multilayer networks. It takes both the parameter errors and the model complexity into account and is computationally efficient and scalable to large networks.

The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives.

Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only report their aggregated quarterly risk exposure, but no details about their counterparties. Hence, little is known about the diversification of counterparty risk. In this paper, we reconstruct the weighted and time-dependent network of counterparty risk in the OTC derivatives market of the United States between 1998 and 2012. To proxy unknown bilateral exposures, we first study the co-occurrence patterns of institutions based on their quarterly activity and ranking in the official report. The network obtained this way is further analysed by a weighted k-core decomposition, to reveal a core-periphery structure. This allows us to compare the activity-based ranking with a topology-based ranking, to identify the most important institutions and their mutual dependencies. We also analyse correlations in these activities, to show strong similarities in the behavior of the core institutions. Our analysis clearly demonstrates the clustering of counterparty risk in a small set of about a dozen US banks. This not only increases the default risk of the central institutions, but also the default risk of peripheral institutions which have contracts with the central ones. Hence, all institutions indirectly have to bear (part of) the counterparty risk of all others, which needs to be better reflected in the price of OTC derivatives.