Related papers: Time-scale analysis of co-movement in EU sovereign…
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…
Experimentally observed networks of interacting dynamical systems are inferred from recorded multivariate time series by evaluating a statistical measure of dependence, usually the cross-correlation coefficient, or mutual information. These…
This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic. We study two collections; 45 cryptocurrencies and 72…
Flood risk changes in time and is influenced by both natural and socio-economic trends and interactions. In Europe, previous studies of historical flood losses corrected for demographic and economic growth ("normalized") have been limited…
The seismic potential maps for Greece, particularly for the years 2005 and 2010 (end of 2009), have been calculated following the methodology of the "lithospheric seismic energy flow model". The compiled, for the year 2005, map is compared…
We present a quantitative characterisation of the fluctuations of the annualized growth rate of the real US GDP per capita growth at many scales, using a wavelet transform analysis of two data sets, quarterly data from 1947 to 2015 and…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
We use granular regulatory data on euro interest rate swap trades between January 2021 and June 2023 to assess whether derivative positions of Italian banks can offset losses on their debt securities holdings should interest rates rise…
A fundamental question in nonequilibrium statistical physics is whether effective equilibrium behavior can emerge at coarse-grained scales in strongly driven systems. Here, we investigate this question in the context of human mobility by…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -…
Collective behavior is studied in globally coupled maps. Several coherent motions exist, even in fully desynchronized state. To characterize the collective behavior, we introduce scaling transformation of parameter, and detect the…
The Covid-19 pandemic drastically changed urban mobility, both during the height of the pandemic with government lockdowns, but also in the longer term with the adoption of working-from-home policies. To understand its effects on rail…
When does a crisis-induced surge in radical-party support fade away, and when does it become a durable realignment? We address this in a mathematical sociology threshold model on a conserved population. The baseline admits a global…
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum…
This paper examines the impact of financial risks on economic growth in the first 15 Member States of the European Union, considering 1995-2014 period and aims to lay down a new explanatory model of economic growth, based mainly on the…
This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…
I examine global recessions as a cascade phenomenon. In other words, how recessions arising in one or more countries might percolate across a network of connected economies. A heterogeneous agent based model is set up in which the agents…
During the COVID-19 pandemic, the behavioral response to reported case numbers changed drastically over time. While a few dozen cases were enough to trigger government-induced and voluntary contact reduction in early 2020, less than a year…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…