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Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic reality. That states the general problem of assessment of any…
The application of Reinforcement Learning (RL) to economic modeling reveals a fundamental conflict between the assumptions of equilibrium theory and the emergent behavior of learning agents. While canonical economic models assume atomistic…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
Statistical equilibrium models of coherent structures in two-dimensional and barotropic quasi-geostrophic turbulence are formulated using canonical and microcanonical ensembles, and the equivalence or nonequivalence of ensembles is…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…
Rising inequalities around the globe bring into question our economic systems and the origin of such inequalities. Here we propose a toy agent-based model where each entity is simultaneously producing and consuming indivisible goods. We…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
A longstanding goal of nonequilibrium statistical mechanics has been to extend the conceptual power of the Boltzmann distribution to driven systems. We report some new progress towards this goal. Instead of writing the nonequilibrium…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
We study a statistical model consisting of $N$ basic units which interact with each other by exchanging a physical entity, according to a given microscopic random law, depending on a parameter $\lambda$. We focus on the equilibrium or…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
A system is invariant with respect to an input transformation if we can transform any dynamic input by this function and obtain the same output dynamics after adjusting the initial conditions appropriately. Often, the set of all such input…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
We investigate finite size scaling aspects of disorder reaction-diffusion processes in one dimension utilizing both numerical and analytical approaches. The former averages the spectrum gap of the associated evolution operators by doubling…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
Network economics is the study of a rich class of equilibrium problems that occur in the real world, from traffic management to supply chains and two-sided online marketplaces. In this paper we explore causal inference in network economics,…