Related papers: Correlations, Risk and Crisis: From Physiology to …
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…
This chapter provides a pedagogical introduction and overview of spatial and temporal correlation and fluctuation effects resulting from the fundamentally stochastic kinetics underlying chemical reactions and the dynamics of populations or…
Many systems in nature, from ferromagnets to flocks of birds, exhibit ordering phenomena on the large scale. In physical systems order is statistically robust for large enough dimensions, with relative fluctuations due to noise vanishing…
Survival models capture the relationship between an accumulating hazard and the occurrence of a singular event stimulated by that accumulation. When the model for the hazard is sufficiently flexible survival models can accommodate a wide…
Geographic ranges of communities of species evolve in response to environmental, ecological, and evolutionary forces. Understanding the effects of these forces on species' range dynamics is a major goal of spatial ecology. Previous…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Environmental variability often has substantial impacts on natural populations and communities through its effects on the performance of individuals. Because organisms' responses to environmental conditions are often nonlinear (e.g.,…
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both…
Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…
When a periodic 1D system described by a tight-binding model is uniformly initialized with equal amplitudes at all sites, yet with completely random phases, it evolves into a thermal distribution with no spatial correlations. However, when…
Critical transitions, or large changes in the state of a system after a small change in the system's external conditions or parameters, commonly occur in a wide variety of disciplines, from the biological and social sciences to physics.…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
Strategies aimed at reducing the negative effects of long-term uncertainty and risk are common in biology, game theory, and finance, even if they entail a cost in terms of mean benefit. Here, we focus on the single mutant's invasion of a…
Contagion, a concept from epidemiology, has long been used to characterize social influence on people's behavior and affective (emotional) states. While it has revealed many useful insights, it is not clear whether the contagion metaphor is…
Nostradamus, inspired by the French astrologer and reputed seer, is a detailed study exploring relations between environmental factors and changes in the stock market. In this paper, we analyze associative correlation and causation between…
Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s. Since then, many different financial series have been…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…
We study the evolution of interest about climate change between different actors of the population, and how the interest of those actors affect one another. We first document the evolution individually, and then provide a model of cross…
In many complex systems a continuous input of energy over time can be suddenly relaxed in the form of avalanches. Conventional avalanche models disregard the possibility of internal dynamical effects in the inter-avalanche periods, and thus…