Related papers: Correlations, Risk and Crisis: From Physiology to …
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
Sustainable energy systems require flexible elements to balance the variability of renewable energy sources. Demand response aims to adapt the demand to the variable generation, in particular by shifting the load in time. In this article,…
Recently (arXiv:0910.2870), we have derived a fluctuation theorem for systems in thermodynamic equilibrium compatible with anomalous response functions, e.g. the existence of states with \textit{negative heat capacities} $C<0$. In this…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
This paper introduces a novel approach to quantifying ecological resilience in biological systems, particularly focusing on noisy systems responding to episodic disturbances with sudden adaptations. Incorporating concepts from…
Motivated by the climate crisis that is currently ravaging the planet, we propose and analyze a novel framework for the evolution of anthropogenic climate impact in which the evolution of human environmental behavior and environmental…
Many-variable differential equations with random coefficients provide powerful models for the dynamics of many interacting species in ecology. These models are known to exhibit a dynamical phase transition from a phase where population…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…
Emotional disorders and psychological flourishing are the result of complex interactions between positive and negative affects that depend on external events and the subject's internal representations. Based on psychological data, we…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
Many organisms live in populations structured by space and by class, exhibit plastic responses to their social partners, and are subject to non-additive ecological and fitness effects. Social evolution theory has long recognized that all of…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
Cells generally change their internal state to adapt to an environmental change, and accordingly evolve in response to the new conditions. This process involves phenotypic changes that occur over several different time scales, ranging from…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…
Adaptation in a fluctuating environment is a process of fueling environmental information to gain fitness. Living systems have gradually developed strategies for adaptation from random and passive diversification of the phenotype to more…
There are numerous geo-climatic and human factors that contribute to the occurrence of natural disasters in the real-world scenario. Besides the study of causes and preconditions of such calamities, post-disaster analysis is essential for…