Related papers: Instabilities in large economies: aggregate volati…
As humanity is becoming increasingly confronted by Earth's finite biophysical limits, there is increasing interest in questions about the stability and equitability of a zero-growth capitalist economy, most notably: if one maintains a…
We consider the rotational dynamics in an ensemble of globally coupled identical pendulums. This model is essentially a generalization of the standard Kuramoto model, which takes into account the inertia and the intrinsic nonlinearity of…
We study simple models of intermittency, involving switching between two states, within the dynamical large-deviation formalism. Singularities appear in the formalism when switching is cooperative, or when its basic timescale diverges. In…
Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…
We introduce a prototype agent-based model of the macroeconomy, with budgetary constraints at its core. The model is related to a class of constraint satisfaction problems (CSPs), which has been thoroughly investigated in computer science.…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
Chaos and nonlinear economic dynamics are addressed for a quantum coupled map lattice model of an artificial economy, with quantized supply and demand equilibrium conditions. The measure theoretic properties and the patterns that emerge in…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
Limit theorems for a linear dynamical system with random interactions are established. These theorems enable us to characterize the dynamics of a large complex system in details and assess whether a large complex system is stable or…
We comment on some recent, yet unpublished results concerning instabilities in complex systems and their applications. In particular, we briefly describe main observations during extensive computer simulations of two lattice nonequilibrium…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
The efficient market hypothesis (EMH), based on rational expectations and market equilibrium, is the dominant perspective for modelling economic markets. However, the most notable critique of the EMH is the inability to model periods of…
We study the formation of coherent structures in a system with long-range interactions where particles moving on a circle interact through a repulsive cosine potential. Non equilibrium structures are shown to correspond to statistical…
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…
A general nonlinear logistic equation has been proposed to model long-time saturation in industrial growth. An integral solution of this equation has been derived for any arbitrary degree of nonlinearity. A time scale for the onset of…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
We study the relaxation of the bi-dimensional kinetically constrained spiral model. We show that due to the reversibility of the dynamic rules any unblocked state fully decorrelates in finite times irrespectively of the system being in the…