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With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
A system is in a self-organized critical state if the distribution of some measured events (avalanche sizes, for instance) obeys a power law for as many decades as it is possible to calculate or measure. The finite-size scaling of this…
Many natural phenomena exhibit power law behaviour in the distribution of event size. This scaling is successfully reproduced by Self Organized Criticality (SOC). On the other hand, temporal occurrence in SOC models has a Poisson-like…
We study how large functional networks can grow stably under possible cascading overload failures and evaluated the maximum stable network size above which even a small-scale failure would cause a fatal breakdown of the network. Employing a…
Tree-grass coexistence in savanna ecosystems depends strongly on environmental disturbances out of which crucial is fire. Most modeling attempts in the literature lack stochastic approach to fire occurrences which is essential to reflect…
In social networks, bursts of activity often result from the imitative behavior between interacting agents. The Ising model, along with its variants in the social sciences, serves as a foundational framework to explain these phenomena…
We discuss the properties of a self--organized critical forest--fire model which has been introduced recently. We derive scaling laws and define critical exponents. The values of these critical exponents are determined by computer…
The mechanisms underlying cascading failures are often modeled via the paradigm of self-organized criticality. Here we introduce a simple model where nodes self-organize to be either weak or strong to failure which captures the trade-off…
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We…
We study extreme events of avalanche activities in finite-size two-dimensional self-organized critical (SOC) models, specifically the stochastic Manna model (SMM) and the Bak-Tang-Weisenfeld (BTW) sandpile model. Employing the approach of…
We propose a simple model that aims at describing, in a stylized manner, how local breakdowns due unbalances or congestion propagate in real dynamical networks. The model converges to a self-organized critical stationary state in which the…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
Extreme events, such as market crashes, natural disasters, and pandemics, are rare but catastrophic, often triggering cascading failures across interconnected systems. Accurate prediction and early warning can help minimize losses and…
Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from traffic flows to financial markets. Self-organized criticality…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…
The frequency of disruptive and newly emerging threats (e.g. man-made attacks--cyber and physical attacks; extreme natural events--hurricanes, earthquakes, and floods) has escalated dramatically in the last decade. Impacts of these events…
In the last decade, several models with network adaptive mechanisms (link deletion-creation, dynamic synapses, dynamic gains) have been proposed as examples of self-organized criticality (SOC) to explain neuronal avalanches. However, all…