Related papers: Risk Dynamics in Trade Networks

We formulate a theory of agent-based models in which agents compete to be in a winning group. The agents may be part of a network or not, and the winning group may be a minority group or not. The novel feature of the present formalism is…

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…

We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…

We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using…

We report on a series of experiments in which we study the coevolutionary "arms-race" dynamics among groups of agents that engage in adaptive automated trading in an accurate model of contemporary financial markets. At any one time, every…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

Empirical data on the dynamics of human face-to-face interactions across a variety of social venues have recently revealed a number of context-independent structural and temporal properties of human contact networks. This universality…

We provide a framework for determining the centralities of agents in a broad family of random networks. Current understanding of network centrality is largely restricted to deterministic settings, but practitioners frequently use random…

We consider a model of matching in trading networks in which firms can enter into bilateral contracts. In trading networks, stable outcomes, which are immune to deviations of arbitrary sets of firms, may not exist. We define a new solution…

Energy forecasting has attracted enormous attention over the last few decades, with novel proposals related to the use of heterogeneous data sources, probabilistic forecasting, online learn-ing, etc. A key aspect that emerged is that…

This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study…

Numerous online services are data-driven: the behavior of users affects the system's parameters, and the system's parameters affect the users' experience of the service, which in turn affects the way users may interact with the system. For…

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…

Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading…

We review selected results related to robustness of networked systems in finite and asymptotically large size regimes, under static and dynamical settings. In the static setting, within the framework of flow over finite networks, we discuss…

Modeling Internet growth is important both for understanding the current network and to predict and improve its future. To date, Internet models have typically attempted to explain a subset of the following characteristics: network…

In this work we introduce an approach for modeling and analyzing collective behavior of a group of agents using moments. We represent the group of agents via their distribution and derive a method to estimate the dynamics of the moments. We…

This paper studies multilateral matching in which agents may negotiate contracts within any coalition. We assume scale economies such that an agent substitutes some existing contracts with new ones only if the latter involve a set of…

We present a novel model to simulate real social networks of complex interactions, based in a granular system of colliding particles (agents). The network is build by keeping track of the collisions and evolves in time with correlations…