Author Archives: Paolo Barucca

About Paolo Barucca

I'm a Theoretical Physicist specialized in Statistical Physics of disordered and complex systems. I’m currently researching "Systemic risk in financial markets" at the Scuola Normale Superiore.

P. Mazzarisi, P. Barucca, F. Lillo, D. Tantari (2020), A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market , European Journal of Operational Research, 281, 1, 50-65

We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the propensity of each node to create links. Assuming a Markov dynamics for both mechanisms, we propose an Expectation-Maximization algorithm for model estimation and inference of the latent variables. The estimated parameters and fitnesses can be used to forecast the presence of a link in the future. We apply our methodology to the e-MID interbank network for which the two linkage mechanisms are associated with two different trading behaviors in the process of network formation, namely preferential trading and trading driven by node-specific characteristics. The empirical results allow to recognize preferential lending in the interbank market and indicate how a method that does not account for time-varying network topologies tends to overestimate preferential linkage.

https://doi.org/10.1016/j.ejor.2019.07.024

Letizia E., Barucca P., Lillo F. (2018). Resolution of ranking hierarchies in directed networks

Identifying hierarchies and rankings of nodes in directed graphs is fundamental in many applications such as social network analysis, biology, economics, and finance. A recently proposed method identifies the hierarchy by finding the ordered partition of nodes which minimises a score function, termed agony. This function penalises the links violating the hierarchy in a way depending on the strength of the violation.
To investigate the resolution of ranking hierarchies we introduce an ensemble of random graphs, the Ranked Stochastic Block Model. We find that agony may fail to identify hierarchies when the structure is not strong enough and the size of the classes is small with respect to the whole network. We analytically characterise the resolution threshold and we show that an iterated version of agony can partly overcome this resolution limit.

https://doi.org/10.1371/journal.pone.0191604

P.Mazzarisi, P.Barucca, F.Lillo, D.Tantari, A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market

We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the propensity of each node to create links. Assuming a Markov dynamics for both mechanisms, we propose an Expectation-Maximization algorithm for model estimation and inference of the latent variables. The estimated parameters and fitnesses can be used to forecast the presence of a link in the future. We apply our methodology to the e-MID interbank network for which the two linkage mechanisms are associated with two different trading behaviors in the process of network formation, namely preferential trading and trading driven by node-specific characteristics. The empirical results allow to recognise preferential lending in the interbank market and indicate how a method that does not account for time-varying network topologies tends to overestimate preferential linkage.

P.Barucca, P.Mazzarisi, F.Lillo, D.Tantari (2017), Disentangling group and link persistence in dynamic stochastic block models

We study the inference of a model of dynamic networks in which both communities and
links keep memory of previous network states. By considering maximum likelihood inference from
single snapshot observations of the network, we show that link persistence makes the inference of
communities harder, decreasing the detectability threshold, while community persistence tends to make
it easier. We analytically show that communities inferred from single network snapshot can share a
maximum overlap with the underlying communities of a specific previous instant in time. This leads
to time-lagged inference: the identification of past communities rather than present ones. Finally
we compute the time lag and propose a corrected algorithm, the Lagged Snapshot Dynamic (LSD)
algorithm, for community detection in dynamic networks. We analytically and numerically characterize
the detectability transitions of such algorithm as a function of the memory parameters of the model.

https://arxiv.org/pdf/1701.05804.pdf

P.Barucca, D.Tantari, F.Lillo (2016), Centrality metrics and localization in core-periphery networks

Two concepts of centrality have been defined in complex networks. The first considers the centrality of a node and many different metrics for it have been defined (e.g. eigenvector centrality, PageRank, non-backtracking centrality, etc). The second is related to large scale organization of the network, the core-periphery structure, composed by a dense core plus an outlying and loosely-connected periphery. In this paper we investigate the relation between these two concepts. We consider networks generated via the stochastic block model, or its degree corrected version, with a core-periphery structure and we investigate the centrality properties of the core nodes and the ability of several centrality metrics to identify them. We find that the three measures with the best performance are marginals obtained with belief propagation, PageRank, and degree centrality, while non-backtracking and eigenvector centrality (or MINRES [10], showed to be equivalent to the latter in the large network limit) perform worse in the investigated networks.

http://iopscience.iop.org/article/10.1088/1742-5468/2016/02/023401/meta