Related papers: Correlations, Risk and Crisis: From Physiology to …
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be…
We investigate long-duration time series of human physical activity under three different conditions: healthy individuals in (i) a constant routine protocol and (ii) in regular daily routine, and (iii) individuals diagnosed with multiple…
Linking the microscopic and macroscopic behavior is at the heart of many natural and social sciences. This apparent similarity conceals essential differences across disciplines: while physical particles are assumed to optimize the global…
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
Collective behavior is commonly attributed to direct interactions among system components. Using a minimal stochastic model, we show that higher-order collective structure can instead emerge from shared stochastic environments, even in the…
This paper proposes a simple model to capture the complexity of multi-layer systems where their constituent layers affect, are affected by, each other. The physical layer is a circuit composed by a power source and resistors in parallel.…
Games with environmental feedback have become a crucial area of study across various scientific domains, modelling the dynamic interplay between human decisions and environmental changes, and highlighting the consequences of our choices on…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
Two species with similar resource requirements respond in a characteristic way to variations in their habitat -- their abundances rise and fall in concert. We use this idea to learn how bacterial populations in the microbiota respond to…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
Variability on external conditions has important consequences for the dynamics and the organization of biological systems. In many cases, the characteristic timescale of environmental changes as well as their correlations play a fundamental…
Common-pool resource governance requires users to cooperate and avoid overexploitation, but defection and free-riding often undermine cooperation. We model a human-environmental system that integrates dynamics of resource and users'…
What features characterise complex system dynamics? Power laws and scale invariance of fluctuations are often taken as the hallmarks of complexity, drawing on analogies with equilibrium critical phenomena[1-3]. Here we argue that slow,…
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 relaxation and scaling properties of three different variants of the contact process in two spatial dimensions are analysed. Dynamical contact processes capture a variety of contagious processes such as the spreading of…
Our research is concerned with studying behavioural changes within a dynamic system, i.e. health care, and their effects on the decision-making process. Evolutionary Game theory is applied to investigate the most probable strategy(ies)…
It is still common wisdom amongst economists, politicians and lay people that economic growth is a necessity of our social systems, at least to avoid distributional conflicts. This paper challenges such belief moving from a purely physical…