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Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
Networks play a central role in modern data analysis, enabling us to reason about systems by studying the relationships between their parts. Most often in network analysis, the edges are given. However, in many systems it is difficult or…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
Several recent experiments in biology study systems composed of several interacting elements, for example neuron networks. Normally, measurements describe only the collective behavior of the system, even if in most cases we would like to…
In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis…
We introduce a simple dynamical model of two interacting communities whose elements are subject to stochastic discrete-time updates governed by only bilinear interactions. When the intra- and inter-couplings are cooperative, the two…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
One of the most critical problems we face in the study of biological systems is building accurate statistical descriptions of them. This problem has been particularly challenging because biological systems typically contain large numbers of…
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or…
Identifying and quantifying co-dependence between financial instruments is a key challenge for researchers and practitioners in the financial industry. Linear measures such as the Pearson correlation are still widely used today, although…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
Information flow provides a natural measure for the causal interaction between dynamical events. This study extends our previous rigorous formalism of componentwise information flow to the bulk information flow between two complex…
We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.