Self-organized criticality in a model of collective bank bankruptcies

Details Self-organized criticality in a model of collective bank bankruptcies Self-organized criticality in a model of collective bank bankruptcies

2001-11-30

arxiv.org/abs/cond-mat/0111586v2

Int. J. Mod. Phys. C 13 (3): 333-341 MAR 2002

Physics

Condensed Matter

Statistical Mechanics

For Int. J. Mod. Phys. C 13, No. 3, six pages including four figures

Scientific paper

10.1142/S0129183102003164

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.

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