Related papers: Correlations, Risk and Crisis: From Physiology to …
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
In 1938, H. Selye proposed the notion of adaptation energy and published "Experimental evidence supporting the conception of adaptation energy". Adaptation of an animal to different factors appears as the spending of one resource.…
We proposed social synergetics and the four basic theorems, in which theorem of perfect correlation on humanity is researched mathematically. Generally, we discuss the four variables and the eight aspects in social physics. We search social…
Environmental stochasticity is known to be a destabilizing factor, increasing abundance fluctuations and extinction rates of populations. However, the stability of a community may benefit from the differential response of species to…
This paper studies a stylized model of local interaction where agents choose from an ever increasing set of vertically ranked actions, e.g. technologies. The driving forces of the model are infrequent upward shifts (``updates''), followed…
Information flow provides a natural measure for the causal interaction between dynamical events. This study extends our previous rigorous formalism of componentwise information flow to the bulk information flow between two complex…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
In spite of the (correct) common-wisdom statement correlation does not imply causation, a proper employ of time correlations and of fluctuation-response theory allows to understand the causal relations between the variables of a…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
When a large number of similar entities interact among each other and with their environment at a low scale, unexpected outcomes at higher spatio-temporal scales might spontaneously arise. This nontrivial phenomenon, known as emergence,…
Prior research has shown that autocorrelation and variance in voltage measurements tend to increase as power systems approach instability. This paper seeks to identify the conditions under which these statistical indicators provide reliable…
We investigate the selective forces that promote the emergence of modularity in nature. We demonstrate the spontaneous emergence of modularity in a population of individuals that evolve in a changing environment. We show that the level of…
The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
Exerting fluctuations is a part of our daily life: traffic noise, heartbeat, opinion poll, currency exchange rate, electrical current, chemical reactions - they all permanently fluctuate. One of the most important questions is why the…