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Models for wildfires must be stochastic if their ability to represent wildfires is to be objectively assessed. The need for models to be stochastic emerges naturally from the physics of the fire, and methods for assessing fit are…
We extend a generic class of systems which have previously been shown to spontaneously develop scaling (power law) distributions of their elementary degrees of freedom. While the previous systems were linear and exploded exponentially for…
Large scale organization in ensembles of events of atmospheric convection can be generated by the combined effect of forcing and of the interaction between the raising plumes and the environment. Here the "large scale" refers to the space…
We revisit the topic of self-organized criticality (SOC) in simple statistical graph models, with the purpose of capturing essential processes leading to the emergence of macroscopic spacetime from the microscopic dynamics in loop quantum…
We consider dynamics of financial markets as dynamics of expectations and discuss such a dynamics from the point of view of phenomenological thermodynamics. We describe a financial Carnot cycle and the financial analogue of a heat machine.…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
We study a simple case of the susceptible-weakened-infected-removed model in regular random graphs in a situation where an epidemic starts from a finite fraction of initially infected nodes (seeds). Previous studies have shown that,…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…
We show how clustering as a general hierarchical dynamical process proceeds via a sequence of inverse cascades to produce self-similar scaling, as an intermediate asymptotic, which then truncates at the largest spatial scales. We show how…
Non-Poissonian bursty processes are ubiquitous in natural and social phenomena, yet little is known about their effects on the large-scale spreading dynamics. In order to characterize these effects we devise an analytically solvable model…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
Humans have been able to tackle biosphere complexities by acting as ecosystem engineers, profoundly changing the flows of matter, energy and information. This includes major innovations that allowed to reduce and control the impact of…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
Integrated cyber-physical systems (CPSs), such as the smart grid, are increasingly becoming the underpinning technology for major industries. A major concern regarding such systems are the seemingly unexpected large-scale failures, which…
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial…