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Many systems in chemistry, biology, finance and social sciences present emerging features which are not easy to guess from the elementary interactions of their microscopic individual components. In the past, the macroscopic behavior of such…
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…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…
The opinion dynamics of economic agents is modeled with the link structure influenced by the resulting opinions: Links between people of nearly the same opinion are more stable than those between people of vastly different opinions. A…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
This paper provides a general method to translate a standard economic model with a large number of agents into a field-formalism model. This formalism preserves the system's interactions and microeconomic features at the individual level…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
Ecological communities with many species can be classified into dynamical phases. In systems with all-to-all interactions, a phase where a fixed point is always reached and a dynamically-fluctuating phase have been found. The dynamics when…
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…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
We propose a kinetic model to describe the dynamical evolution of wealth and knowledge in national and global markets, starting from a microscopic description of individual interactions. The model is built upon interaction rules that…
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…
This study presents a method to predict the growth fluctuation of firms interdependent in a network economy. The risk of downward growth fluctuation of firms is calculated from the statistics on Japanese industry.
We develop a ``unified'' model that describes both ``micro'' and ``macro'' evolutions within a single theoretical framework. The eco-system is described as a dynamic network; the population dynamics at each node of this network describes…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…
Macroevolutionary dynamics often display sudden, explosive surges, where systems remain relatively stable for extended periods before experiencing dramatic acceleration that frequently exceeds traditional exponential growth. This pattern is…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…