Related papers: Is the European Monetary System converging to inte…
Recent advances in the urban science make broad use of the notion of scaling. We focus here on the important scaling relationship between the gross metropolitan product (GMP) of a city and its population (pop). It has been demonstrated that…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy. We tackle the task to visualize the evolution of risk,…
We consider Markov Decision Processes (MDPs) in which every stationary policy induces the same graph structure for the underlying Markov chain and further, the graph has the following property: if we replace each recurrent class by a node,…
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that…
Most national economies are linked by international trade. Consequently, economic globalization forms a massive and complex economic network with strong links, that is, interactions arising from increasing trade. Various interesting…
We describe the bailout of banks by governments as a Markov Decision Process (MDP) where the actions are equity investments. The underlying dynamics is derived from the network of financial institutions linked by mutual exposures, and the…
Can self-organization of scientific communication be specified by using literature-based indicators? In this study, we explore this question by applying entropy measures to typical "Mode-2" fields of knowledge production. We hypothesized…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
We derive Markovian master equations of single and interacting harmonic systems in different scenarios, including strong internal coupling. By comparing the dynamics resulting from the corresponding Markovian master equations with exact…
This paper develops a continuous functional framework for analyzing contagion dynamics in financial networks, extending the Navier-Stokes-based approach to network-structured spatial processes. We model financial distress propagation as a…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…
The real monetary economy is grounded upon monetary flow equilibration or the activity of actualizing monetary flow continuity at each economic agent except for the central bank. Every update of monetary flow continuity at each agent…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…