Related papers: Correlations, Risk and Crisis: From Physiology to …
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed. We relate mathematically the correlation among equities with the unconditional correlation of the…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
Sustainability of common-pool resources hinges on the interplay between human and environmental systems. However, there is still a lack of a novel and comprehensive framework for modelling extraction of common-pool resources and cooperation…
Understanding the statistical dynamics of growth and inequality is a fundamental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and…
Living species, ranging from bacteria to animals, exist in environmental conditions that exhibit spatial and temporal heterogeneity which requires them to adapt. Risk-spreading through spontaneous phenotypic variations is a known concept in…
Identifying and quantifying factors influencing human decision making remains an outstanding challenge, impacting the performance and predictability of social and technological systems. In many cases, system failures are traced to human…
Feedback-evolving games is a framework that models the co-evolution between payoff functions and an environmental state. It serves as a useful tool to analyze many social dilemmas such as natural resource consumption, behaviors in…
Environmental fluctuations have important consequences in the organization of ecological communities, and understanding how such a variability influences the biodiversity of an ecosystem is a major question in ecology. In this paper, we…
This paper studies natural disasters and the psychological costs of climate change. It presents what we believe to be the first evidence that higher temperature variability and not a higher level of temperature is what predicts natural…
We study the collective behaviour of an ensemble of coupled motile elements whose interactions depend on time and are alternatively attractive or repulsive. The evolution of interactions is driven by individual internal variables with…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
In theoretical studies, the most commonly used measure of ecological stability is resilience: ecosystems asymptotic rate of return to equilibrium after a pulse-perturbation $-$or shock. A complementary notion of growing popularity is…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
In modeling multivariate time series for either forecast or policy analysis, it would be beneficial to have figured out the cause-effect relations within the data. Regression analysis, however, is generally for correlation relation, and…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we expand the scope of vector autoregression by incorporating…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
Bursty dynamics is a common temporal property of various complex systems in Nature but it also characterises the dynamics of human actions and interactions. At the phenomenological level it is a feature of all systems that evolve…
Causality has become a fundamental approach for explaining the relationships between events, phenomena, and outcomes in various fields of study. It has invaded various fields and applications, such as medicine, healthcare, economics,…