eprintid: 10110953 rev_number: 22 eprint_status: archive userid: 608 dir: disk0/10/11/09/53 datestamp: 2020-09-29 09:36:34 lastmod: 2021-10-19 22:19:24 status_changed: 2020-09-29 09:36:34 type: proceedings_section metadata_visibility: show creators_name: Barucca, P creators_name: Mazzarisi, P creators_name: Tantari, D creators_name: Lillo, F title: A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market ispublished: pub divisions: UCL divisions: B04 divisions: C05 divisions: F48 note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. abstract: 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 ExpectationMaximization 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. date: 2018-09-26 date_type: published publisher: Complex Systems Society official_url: http://ccs2018.web.auth.gr/dynamic-network-model-persistent-links-and-node-specific-latent-variables-application-interbank oa_status: green full_text_type: other language: eng primo: open primo_central: open_green verified: verified_manual elements_id: 1543677 lyricists_name: Barucca, Paolo lyricists_id: PBARU26 actors_name: Barucca, Paolo actors_name: Allington-Smith, Dominic actors_id: PBARU26 actors_id: DAALL44 actors_role: owner actors_role: impersonator full_text_status: public series: CCS publication: CoRR volume: 2018 place_of_pub: Thessaloniki, Greece event_title: CCS2018 book_title: Proceedings of CCS2018 citation: Barucca, P; Mazzarisi, P; Tantari, D; Lillo, F; (2018) A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. In: Proceedings of CCS2018. Complex Systems Society: Thessaloniki, Greece. Green open access document_url: https://discovery.ucl.ac.uk/id/eprint/10110953/7/Barucca_DNM_EJOR.pdf