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Backtest is a way of financial risk evaluation which helps to analyze how our trading algorithm would work in markets with past time frame. The high volatility situation has always been a critical situation which creates challenges for…

Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…

In this paper, we consider a simplified model of turbulence for large Reynolds numbers driven by a constant power energy input on large scales. In the statistical stationary regime, the behaviour of the kinetic energy is characterised by…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

We present a systematic trading framework that forecasts short-horizon market risk, identifies its underlying drivers, and generates alpha using a hybrid machine learning ensemble built to trade on the resulting signal. The framework…

Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…

Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…

Resource allocation systems provide the fundamental support for the normal functioning and well being of the modern society, and can be modeled as minority games. A ubiquitous dynamical phenomenon is the emergence of herding, where a vast…

How do we design and deploy crowdsourced prediction platforms for real-world applications where risk is an important dimension of prediction performance? To answer this question, we conducted a large online Wisdom of the Crowd study where…

We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but also to ``anti-bubbles'' with decelerating…

Can unstructured text data from social media help explain the drivers of large asset price fluctuations? This paper investigates how social forces affect asset prices, by using machine learning tools to extract beliefs and positions of…

We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…

In this paper we show similarities between turbulence and financial systems. Motivated by similarities between the two systems, we construct a multiscale model for hierarchical financial structures that exhibits a constant cascade of wealth…

We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly dependent losses. The loss distributions of our focus are…

The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…

The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…

Avalanches of electrochemical activity in brain networks have been empirically reported to obey scale-invariant behavior --characterized by power-law distributions up to some upper cut-off-- both in vitro and in vivo. Elucidating whether…

We introduce an external control to reduce the size of avalanches in some sandpile models exhibiting self organized criticality. This rather intuitive approach seems to be missing in the vast literature on such systems. The control action,…

Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…

We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…