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We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…

Collective behaviour is a widespread phenomenon in biology, cutting through a huge span of scales, from cell colonies up to bird flocks and fish schools. The most prominent trait of collective behaviour is the emergence of global order:…

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the…

Group behavior has received much attention as a test case of self-organization. There has been much written in recent years to investigate interactions within groups of agents. These agents can be animals moving in an interactive way, such…

This paper deals with grouping of entities in a fleet based on their behavior. The behavior of each entity is characterized by its historical dataset, which comprises a dependent variable, typically a performance measure, and multiple…

We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…

To minimize property loss and death count in terror attacks and other emergent scenarios, attention given to timely and effective evacuation cannot be enough. Due to limited evacuation resource, i.e., number of available exits, there exists…

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…

Network analysis has driven key developments in research on animal behaviour by providing quantitative methods to study the social structures of animal groups and populations. A recent formalism, known as \emph{multilayer network analysis},…

This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…

We investigate the effects of stockholding on households' attention to the macroeconomy. Households' attentiveness is measured by their accuracy of inflation expectations and perceptions. Relative to non-stockholders, stockholders produce…

The spontaneous organization of collective activities in animal groups and societies has attracted a considerable amount of attention over the last decade. This kind of coordination often permits group-living species to achieve collective…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…

Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…

This is an introduction to the special issue titled "Collective behavior and evolutionary games" that is in the making at Chaos, Solitons & Fractals. The term collective behavior covers many different phenomena in nature and society. From…

The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…