Related papers: Trust! Why it Has Been Lost and How to Regain It
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We…
Due to its significant and growing environmental harms, both directly through its materiality and indirectly through its pervasive integration into unsustainable economic systems, ICT will need to be radically redirected to align with…
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
Trust models are widely used in various computer science disciplines. The main purpose of a trust model is to continuously measure trustworthiness of a set of entities based on their behaviors. In this article, the novel notion of "rational…
Critical infrastructure is not indestructible. Threats, both emergent and systemic, have propagated beyond historical norms that risk mitigation efforts alone cannot alleviate. Interdependencies between infrastructural systems compound…
Spreadsheets have been with us in their present form for over a quarter of a century. We have become so used to them that we forget that we are using them at all. It may serve us well to stand back for a moment to review where, when and how…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…
The increasingly complex economic and financial environment in which we live makes the management of liquidity in payment systems and the economy in general a persistent challenge. New technologies are making it possible to address this…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
In recent times, the functioning of various aspects of modern society---ranging from the various infrastructural utilities such as electrical power, water to socio-economical aspects such as telecommunications, business, commerce,…
Urban crises reveal the true essence of cities: their ability to either withstand disorder or collapse under its pressure. This article explores how antifragility principles can transforms urban disruption into levers for reinforcement and…
While much research on the hard problem of in-depth story understanding by computer was performed starting in the 1970s, interest shifted in the 1990s to information extraction and word sense disambiguation. Now that a degree of success has…
Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…
The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its…
The SLAM community has fallen into a "Confidence Trap" by prioritizing benchmark scores over principled uncertainty estimation. This yields systems that are geometrically accurate but probabilitistically inconsistent and brittle. We…