Related papers: Minsky Financial Instability, Interscale Feedback,…
Polarization is a well-documented phenomenon across a wide range of social issues. However, prevailing theories often compartmentalize the examination of herding behavior and opinion convergence within different contexts. In this study, we…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
We investigate an epidemiological model that incorporates waning of immunity at the individual level and boosting of the immune system upon re-exposure to the pathogen. When immunity is fully restored upon boosting, the system can be…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…
Spiking activity in cortical networks is nonlinear in nature. The linear-nonlinear cascade model, some versions of which are also known as point-process generalized linear model, can efficiently capture the nonlinear dynamics exhibited by…
We provide a numerical study of the macroscopic model of [3] derived from an agent-based model for a system of particles interacting through a dynamical network of links. Assuming that the network remodelling process is very fast, the…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for…
Interbank deposits (loans and credits) are quite common in banking system all over the world. Such interbank co-operation is profitable for banks but it can also lead to collective financial failures. In this paper we introduce a new model…
The saddle-node bifurcation on an invariant circle (SNIC) is one of the codimension-one routes to creation or destruction of a periodic orbit in a continuous-time dynamical system. It governs the transition from resting behaviour to…
In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government…
Polarization issue is generally subject to ideological polarization and affective polarization. In particular, affective polarization usually accelerates the polarization process and transform social interactions into a zero-sum game. Yet,…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…