Related papers: Minsky Financial Instability, Interscale Feedback,…
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this…
When real networks are considered, coupled networks with connectivity and feedback-dependency links are not rare but more general. Here we develop a mathematical framework and study numerically and analytically percolation of interacting…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
This work studies mean-square stabilizability via output feedback for a networked linear time invariant (LTI) feedback system with a non-minimum phase plant. In the feedback system, the control signals are transmitted to the plant over a…
In this paper, a mathematically rigorous solution overturns existing wisdom regarding New Keynesian Dynamic Stochastic General Equilibrium. I develop a formal concept of stochastic equilibrium. I prove uniqueness and necessity, when agents…
Hybrid Inflation is a two-field model where inflation ends by a tachyonic instability, the duration of which is determined by stochastic effects and has important observational implications. Making use of the recursive approach to the…
We study collective self-organization of weakly magnetic active suspensions in a uniform external field by analyzing a mesoscopic continuum model that we have recently developed. Our model is based on a Smoluchowski equation for a particle…
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.…
Since the 2007-2009 financial crisis, substantial academic effort has been dedicated to improving our understanding of interbank lending networks (ILNs). Because of data limitations or by choice, the literature largely lacks multiple loan…
Theoretical and numerical analysis of the relativistic effects on the Richtmyer-Meshkov (RM) instability reveals new and potentially very useful effects. We find that, in contrast with the non- relativistic case, the growth rate of the RM…
Classical Kyle-type models of informed trading typically treat noise trader demand as purely exogenous. In reality, many market participants react to price movements and news, generating feedback effects that can significantly alter market…
A well-known model due to J.-M. Lasry and P.L. Lions that presents the evolution of prices in a market as the evolution of a free boundary in a diffusion equation is suggested to be modified in order to show instabilities for some values of…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
We investigate numerically the collective dynamical behavior of pulse-coupled non-leaky integrate-and-fire-neurons that are arranged on a two-dimensional small-world network. To ensure ongoing activity, we impose a probability for…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to…
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…
Hierarchy significantly shapes interactions in social structures by organizing individuals or groups based on status, power, or privilege. This study investigates how hierarchy affects structural balance as temperature variations, which…
This article formalizes the problem of modeling social networks into an interacting particle system on random geometric graphs. Each vertex of the graph is associated with a geometric position in a latent space describing the unobserved…