Related papers: A housing-demographic multi-layered nonlinear mode…

This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…

Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth,…

Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…

This project aims at creating an investment device to help investors determine which real estate units have a higher return to investment in Madrid. To do so, we gather data from Idealista.com, a real estate web-page with millions of real…

The financial and economic crisis recently experienced by many European countries has increased demand for timely, coherent and consistent distributional information for the household sector. In the Euro area, most of the NCBs collect such…

Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

Urban deprivation is traditionally measured using static, residence-based indicators, capturing the socioeconomic, demographic, and spatial conditions of neighborhoods. However, this approach overlooks how daily movement allows residents to…

We study a multilayer SIR model with two levels of mixing, namely a global level which is uniformly mixing, and a local level with two layers distinguishing household and workplace contacts, respectively. We establish the large population…

Segregation is a growing concern around the world. One of its main manifestations is the creation of ghettos, whose inhabitants have difficult access to well-paid jobs, which are often located far from their homes. In order to study this…

We investigate the parameter space of hybrid inflation models where inflation terminates via a first-order phase transition causing nucleation of bubbles. Such models experience a tension from the need to ensure nearly scale invariant…

Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in…

Although ubiquitous, interactions of groups of individuals (e.g., modern messaging applications, group meetings, or even a parliament discussion) are not yet thoroughly studied. Frequently, single-groups are modeled as critical-mass…

The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…

Spatial distribution of the human population is distinctly heterogeneous, e.g. showing significant difference in the population density between urban and rural areas. In the historical perspective, i.e. on the timescale of centuries, the…

We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the…

For estimating area-specific parameters (quantities) in a finite population, a mixed model prediction approach is attractive. However, this approach strongly depends on the normality assumption of the response values although we often…

There is broad empirical evidence of regime switching in financial markets. The transition between different market regimes is mirrored in correlation matrices, whose time-varying coefficients usually jump higher in highly volatile regimes,…

Developing an accurate prediction model for housing prices is always needed for socio-economic development and well-being of citizens. In this paper, a diverse set of machine learning algorithms such as XGBoost, CatBoost, Random Forest,…