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Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very…

Various social, financial, biological and technological systems can be modeled by interdependent networks. It has been assumed that in order to remain functional, nodes in one network must receive the support from nodes belonging to…

Society's drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from 'black swan' extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of…

We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…

The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…

We introduce noncooperatively optimized tolerance (NOT), a generalization of highly optimized tolerance (HOT) that involves strategic (game theoretic) interactions between parties in a complex system. We illustrate our model in the forest…

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…

Organizational growth processes have consistently been shown to exhibit a fatter-than-Gaussian growth-rate distribution in a variety of settings. Long periods of relatively small changes are interrupted by sudden changes in all size scales.…

In self-organized criticality (SOC) models, as well as in standard phase transitions, criticality is only present for vanishing external fields $h \to 0$. Considering that this is rarely the case for natural systems, such a restriction…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…

We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…

A self-organising model is proposed to explain the criticality in cortical networks deduced from recent observations of neuronal avalanches. Prevailing understanding of self-organised criticality (SOC) dictates that conservation of energy…

We present results on a stochastic forest fire model, where the influence of the neighbour trees is treated in a more realistic way than usual and the definition of neighbourhood can be tuned by an additional parameter. This model exhibits…

We present a general stochastic forest-fire model which shows a variety of different structures depending on the parameter values. The model contains three possible states per site (tree, burning tree, empty site) and three parameters (tree…

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…

The Stock Market is a complex self-interacting system, characterized by an intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically about the possibility that…

We show by extensive simulations that the whole supercritical phase of the three-dimensional uniform forest model simultaneously exhibits an infinite tree and a rich variety of critical phenomena. Besides typical scalings like algebraically…

We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…

We present a general conceptual framework for self-organized criticality (SOC), based on the recognition that it is nothing but the expression, ''unfolded'' in a suitable parameter space, of an underlying {\em unstable} dynamical critical…

Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…