Related papers: Correlations, Risk and Crisis: From Physiology to …
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
We discuss the relevance of studying ecology within the framework of Complexity Science from a statistical mechanics approach. Ecology is concerned with understanding how systems level properties emerge out of the multitude of interactions…
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while…
Post-pandemic world has thrown up several challenges, such as, high inflation, low growth, high debt, collapse of economies, political instability, job losses, lowering of income in addition to damages caused natural disasters, more…
We conducted an investigation of the effect that extreme variability of the individual's environment has in the individual's adaptability and, in general, in the co-evolution of a population. First we assume that the individuals are a kind…
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However,…
Synchronization, that occurs both for non-chaotic and chaotic systems, is a striking phenomenon with many practical implications in natural phenomena. However, even before synchronization, strong correlations occur in the collective…
A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…
One 'problem' with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, markets, national economies). This…
In this paper, we study how the pro-social impact due to the vigilance by other individuals is conditioned by both environmental and evolutionary effects. To this aim, we consider a known model where agents play a Prisoner's Dilemma Game…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
Antifragility characterizes the benefit of a dynamical system derived from the variability in environmental perturbations. Antifragility carries a precise definition that quantifies a system's output response to input variability. Systems…
Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether…
The intensification and increased frequency of weather extremes is emerging as one of the most important aspects of climate change. We use Monte Carlo simulation to understand and predict the consequences of variations in trends (i.e.,…
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
Environmental science almost invariably proposes problems of extreme complexity, typically characterized by strongly nonlinear evolution dynamics. The systems under investigation have many degrees of freedom - which makes them complicated -…