Related papers: Correlations, Risk and Crisis: From Physiology to …
Extraction of interaction networks from multi-variate time-series is one of the topics of broad interest in complex systems. Although this method has a wide range of applications, most of the previous analyses have focused on the pairwise…
Complex network theory provides an elegant and powerful framework to statistically investigate different types of systems such as society, brain or the structure of local and long-range dynamical interrelationships in the climate system.…
Can one demonstrate quantitative effects of diversity within a system comprised of distinct individuals on the performance of the system as a whole? Assuming that individuals can be different, we develop a model to interpolate between…
Many empirical studies estimate causal effects in environments where economic units interact through spatial or network connections. In such settings, outcomes are jointly determined, and treatment induced shocks propagate across…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
From ancient philosophers to modern economists, biologists, and other researchers, there has been a continuous effort to unveil causal relations. The most formidable challenge lies in deducing the nature of the causal relationship: whether…
Varying environmental conditions affect relations between interacting individuals in social dilemmas, thus affecting also the evolution of cooperation. Oftentimes these environmental variations are seasonal and can therefore be…
Risk-driven behavior provides a feedback mechanism through which individuals both shape and are collectively affected by an epidemic. We introduce a general and flexible compartmental model to study the effect of heterogeneity in the…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
The electric power grid is a critical societal resource connecting multiple infrastructural domains such as agriculture, transportation, and manufacturing. The electrical grid as an infrastructure is shaped by human activity and public…
The purpose of this study is to estimate the correlation structure between multiple assets using financial text analysis. In recent years, as the background of elevating inflation in the global economy and monetary policy tightening by…
There may be structural principles pertaining to the general behavior of systems that lead to similarities in a variety of different contexts. Classic examples include the descriptive power of fractals, the importance of surface area to…
Interactions in nature can be described by their coupling strength, direction of coupling and coupling function. The coupling strength and directionality are relatively well understood and studied, at least for two interacting systems,…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
We study decoherence induced by a dynamic environment undergoing a quantum phase transition. Environment's susceptibility to perturbations - and, consequently, efficiency of decoherence - is amplified near a critical point. Over and above…
The hypothesis of self-organized criticality explains the existence of long-range `space-time' correlations, observed inseparably in many natural dynamical systems. A simple link between these correlations is yet unclear, particularly in…
The broad concept of emergence is instrumental in various of the most challenging open scientific questions -- yet, few quantitative theories of what constitutes emergent phenomena have been proposed. This article introduces a formal theory…
One essential ingredient of evolutionary theory is the concept of fitness as a measure for a species' success in its living conditions. Here, we quantify the effect of environmental fluctuations onto fitness by analytical calculations on a…
Human society and natural environment form a complex giant ecosystem, where human activities not only lead to the change of environmental states, but also react to them. By using collective-risk social dilemma game, some studies have…