Related papers: Instabilities in large economies: aggregate volati…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challenging. This is because the standard solution approach, rational…
Symmetry-breaking instabilities play an important role in understanding the mechanisms underlying the diversity of patterns observed in nature, such as in Turing's reaction--diffusion theory, which connects cellular signalling and transport…
We introduce a new model that mimics the strong and sudden effects induced by conformity in tightly interacting human societies. Such effects range from mere crowd phenomena to dramatic political turmoil. The model is a modified version of…
We show that, in a market economy, the aggregate production level depends not only on the aggregate variables but also on the distribution of individual characteristics (e.g., productivity, credit limit, ...). We prove that, due to…
In classical mechanics, solutions can be classified according to their stability. Each of them is part of the possible trajectories of the system. However, the signatures of unstable solutions are hard to observe in an experiment, and most…
The Turing instability is a paradigmatic route to patterns formation in reaction-diffusion systems. Following a diffusion-driven instability, homogeneous fixed points can become unstable when subject to external perturbation. As a…
We study the performance of general dynamic matching models. This model is defined by a connected graph, where nodes represent the class of items and the edges the compatibilities between items. Items of different classes arrive one by one…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
A class of systems is considered, where immobile species associated to distinct patches, the nodes of a network, interact both locally and at a long-range, as specified by an (interaction) adjacency matrix. Non local interactions are…
Fully developed turbulence is a universal and scale-invariant chaotic state characterized by an energy cascade from large to small scales where the cascade is eventually arrested by dissipation. In this article, we show how to harness these…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
Statistical models provide a powerful and useful class of approximations for calculating reaction rates by bypassing the need for detailed, and often difficult, dynamical considerations. Such approaches invariably invoke specific…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
Recent experimental results on the static or quasistatic response of granular materials have been interpreted to suggest the inapplicability of the traditional engineering approaches, which are based on elasto-plastic models (which are…