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We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
We analyse a coupled dataset collecting the mobile phone communications and bank transactions history of a large number of individuals living in a Latin American country. After mapping the social structure and introducing indicators of…
We apply two independent data analysis methodologies to locate stable climate states in an intermediate complexity climate model and analyze their interplay. First, drawing from the theory of quasipotentials, and viewing the state space as…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
In this paper, I develop an integrated approach to collective models and matching models of the marriage market. In the collective framework, both household formation and the intra-household allocation of bargaining power are taken as…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
The study of social emergence has long been a central focus in social science. Traditional modeling approaches, such as rule-based Agent-Based Models (ABMs), struggle to capture the diversity and complexity of human behavior, particularly…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
We exploit a city-level panel comprised of individual house price estimates to estimate the impact of COVID-19 on both small and big real-estate markets in California USA. Descriptive analysis of spot house price estimates, including…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
Intensive development of urban systems creates a number of challenges for urban planners and policy makers in order to maintain sustainable growth. Running efficient urban policies requires meaningful urban metrics, which could quantify…
In this paper we investigate a structured population model with distributed delay. Our model incorporates two different types of nonlinearities. Specifically we assume that individual growth and mortality are affected by scramble…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
While simulations have been utilized in diverse domains, such as urban growth modeling, market dynamics modeling, etc; some of these applications may require validations based upon some real-world observations modeled in the simulation, as…
Policy targets are being set increasingly for social and economic variables in the UK. This approach requires that reasonably successful ex ante forecasts can be made. We propose a general methodology for assessing the extent to which this…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
The dynamic theory of inhomogeneous populations developed during the last decade predicts several essential new dynamic regimes applicable even to the well-known, simple population models. We show that, in an inhomogeneous population with a…
We consider the problem of boundary detection for areal data, focusing on situations where for each areal unit multiple observations are available. We propose a Bayesian nonparametric mixture model for the area-specific population…