Microscopic model for the logarithmic size effect on the Curie point in Barab\'asi-Albert networks

We found that numbers of fully connected clusters in Barab\'asi-Albert (BA) networks follow the exponential distribution with the characteristic exponent $\kappa=2/m$. The critical temperature for the Ising model on the BA network is determined by the critical temperature of the largest fully connected cluster within the network. The result explains the logarithmic dependence of the critical temperature on the size of the network $N$.Comment: 5 pages, 2 figure

Networks of companies and branches in Poland

In this study we consider relations between companies in Poland taking into account common branches they belong to. It is clear that companies belonging to the same branch compete for similar customers, so the market induces correlations between them. On the other hand two branches can be related by companies acting in both of them. To remove weak, accidental links we shall use a concept of threshold filtering for weighted networks where a link weight corresponds to a number of existing connections (common companies or branches) between a pair of nodes.Comment: 13 pages, 10 figures and 4 table

Simulation of majority rule disturbed by power-law noise on directed and undirected Barabasi-Albert networks

On directed and undirected Barabasi-Albert networks the Ising model with spin S=1/2 in the presence of a kind of noise is now studied through Monte Carlo simulations. The noise spectrum P(n) follows a power law, where P(n) is the probability of flipping randomly select n spins at each time step. The noise spectrum P(n) is introduced to mimic the self-organized criticality as a model influence of a complex environment. In this model, different from the square lattice, the order-disorder phase transition of the order parameter is not observed. For directed Barabasi-Albert networks the magnetisation tends to zero exponentially and for undirected Barabasi-Albert networks, it remains constant.Comment: 6 pages including many figures, for Int. J. Mod. Phys.

Self-organized criticality in a model of collective bank bankruptcies

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.Comment: For Int. J. Mod. Phys. C 13, No. 3, six pages including four figure

Ising model spin S=1 on directed Barabasi-Albert networks

On directed Barabasi-Albert networks with two and seven neighbours selected by each added site, the Ising model with spin S=1/2 was seen not to show a spontaneous magnetisation. Instead, the decay time for flipping of the magnetisation followed an Arrhenius law for Metropolis and Glauber algorithms, but for Wolff cluster flipping the magnetisation decayed exponentially with time. On these networks the Ising model spin S=1 is now studied through Monte Carlo simulations. However, in this model, the order-disorder phase transition is well defined in this system. We have obtained a first-order phase transition for values of connectivity m=2 and m=7 of the directed Barabasi-Albert network.Comment: 8 pages for Int. J. Mod. Phys. C; e-mail: [email protected]

Majority-vote on undirected Barabasi-Albert networks

On Barabasi-Albert networks with z neighbours selected by each added site, the Ising model was seen to show a spontaneous magnetisation. This spontaneous magnetisation was found below a critical temperature which increases logarithmically with system size. On these networks the majority-vote model with noise is now studied through Monte Carlo simulations. However, in this model, the order-disorder phase transition of the order parameter is well defined in this system and this wasn't found to increase logarithmically with system size. We calculate the value of the critical noise parameter q_c for several values of connectivity $z$ of the undirected Barabasi-Albert network. The critical exponentes beta/nu, gamma/nu and 1/nu were calculated for several values of z.Comment: 15 pages with numerous figure

Voter model on Sierpinski fractals

We investigate the ordering of voter model on fractal lattices: Sierpinski Carpets and Sierpinski Gasket. We obtain a power law ordering, similar to the behavior of one-dimensional system, regardless of fractal ramification.Comment: 7 pages, 5 EPS figures, 1 table, uses elsart.cl

A simple model of bank bankruptcies

Interbank deposits (loans and credits) are quite common in banking system all over the world. Such interbank co-operation is profitable for banks but it can also lead to collective financial failures. In this paper we introduce a new model of directed percolation as a simple representation for contagion process and mass bankruptcies in banking systems. Directed connections that are randomly distributed between junctions of bank lattice simulate flows of money in our model. Critical values of a mean density of interbank connections as well as static and dynamic scaling laws for the statistic of avalange bankruptcies are found. Results of computer simulations for the universal profile of bankruptcies spreading are in a qualitative agreement with the third wave of bank suspensions during The Great Depression in the USA.Comment: 8 pages, 6 Encapsulated Postscript figures, to be published in Physica A (2001

Ising model simulation in directed lattices and networks

On directed lattices, with half as many neighbours as in the usual undirected lattices, the Ising model does not seem to show a spontaneous magnetisation, at least for lower dimensions. Instead, the decay time for flipping of the magnetisation follows an Arrhenius law on the square and simple cubic lattice. On directed Barabasi-Albert networks with two and seven neighbours selected by each added site, Metropolis and Glauber algorithms give similar results, while for Wolff cluster flipping the magnetisation decays exponentially with time.Comment: Expanded to 8 pages: additional author, additional result

Evaluation of Tranche in Securitization and Long-range Ising Model

This econophysics work studies the long-range Ising model of a finite system with $N$ spins and the exchange interaction $\frac{J}{N}$ and the external field $H$ as a modely for homogeneous credit portfolio of assets with default probability $P_{d}$ and default correlation $\rho_{d}$. Based on the discussion on the $(J,H)$ phase diagram, we develop a perturbative calculation method for the model and obtain explicit expressions for $P_{d},\rho_{d}$ and the normalization factor $Z$ in terms of the model parameters $N$ and $J,H$. The effect of the default correlation $\rho_{d}$ on the probabilities $P(N_{d},\rho_{d})$ for $N_{d}$ defaults and on the cumulative distribution function $D(i,\rho_{d})$ are discussed. The latter means the average loss rate of the``tranche'' (layered structure) of the securities (e.g. CDO), which are synthesized from a pool of many assets. We show that the expected loss rate of the subordinated tranche decreases with $\rho_{d}$ and that of the senior tranche increases linearly, which are important in their pricing and ratings.Comment: 21 pages, 9 figure