Related papers: Minsky Financial Instability, Interscale Feedback,…
An economy-wide production network, manifested through monetary input-output coefficients, inherently destabilizes during the general equilibrium propagation of sectoral productivity shocks when substitution elasticities are non-neutral.…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
We study the disequilibrium dynamics of a stylised model of production networks in which firms use perishable and non-substitutable intermediate inputs, so that adverse idiosyncratic productivity shocks can trigger downstream shortages and…
We investigate the phase transitions of a nonlinear, parallel version of the Ising model, characterized by an antiferromagnetic linear coupling and ferromagnetic nonlinear one. This model arises in problems of opinion formation. The…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Revolution dynamics is studied through a minimal Ising model with three main influences (fields): personal conservatism (power-law distributed), inter-personal and group pressure, and a global field incorporating peer-to-peer and mass…
Interactions between an internal flow and wall deformation occur in many biological systems. Such interactions can involve a complex and rich dynamical behavior and a number of peculiarities which depend on the flow parameter range. The aim…
In this work, we propose an interdependent, multilayer network model and percolation process that matches infrastructures better than previous models by allowing some nodes to survive when their interdependent neighbors fail. We consider a…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
We propose a simple model of the evolution of a social network which involves local search and volatility (random decay of links). The model captures the crucial role the network plays for information diffusion. This is responsible for a…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
If a magnetic field normal to the surface of a magnetic fluid is increased beyond a critical value a spontaneous deformation of the surface arises (normal field instability). The instability is subcritical and leads to peaks of a…
A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of…
Feedback circuits in biochemical networks which underly cellular signaling pathways are important elements in creating complex behavior. A specific aspect thereof is how stability of equilibrium points depends on model parameters. For…
Bank crisis is challenging to define but can be manifested through bank contagion. This study presents a comprehensive framework grounded in nonlinear time series analysis to identify potential early warning signals (EWS) for impending…