Related papers: Market shape formation, statistical equilibrium an…
Networks serve as a tool used to examine the large-scale connectivity patterns in complex systems. Modelling their generative mechanism nonparametrically is often based on step-functions, such as the stochastic block models. These models…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
The purpose of this paper is to study a Markovian metapopulation model on a directed graph with edge-supported transfers and deterministic intra-nodal population dynamics. We first state tractable stability conditions for two typical…
Evolutionary game theory is a framework to formalize the evolution of collectives ("populations") of competing agents that are playing a game and, after every round, update their strategies to maximize individual payoffs. There are two…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
We present a stochastic model of population dynamics exploiting cross-sectional data in trend analysis and forecasts for groups and cohorts of a population. While sharing the convenient features of classic Markov models, it alleviates the…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Markov Population Models are a widespread formalism used to model the dynamics of complex systems, with applications in Systems Biology and many other fields. The associated Markov stochastic process in continuous time is often analyzed by…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
In the last decade, stochastic models have shown to be very useful for quantitative modelling of social processes. Here, a configurational master equation for the description of behavioral changes by pair interactions of individuals is…
How do networks of relationships evolve over time? We analyse a dataset tracking the social interactions of 900 individuals over four years. Despite continuous shifts in individual relationships, the macroscopic structural properties of the…
This note provides several recent progresses in the study of long time behavior of Markov processes. The examples presented below are related to other scientific fields as PDE's, physics or biology. The involved mathematical tools as…
Epidemic dynamics in a stochastic network of interacting epidemic centers is considered. The epidemic and migration processes are modelled by Markov's chains. Explicit formulas for probability distribution of the migration process are…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in various contexts. Here we propose a generative model to capture the dynamics of survival analysis,…
The fluctuations in nonequilibrium systems are under intense theoretical and experimental investigation. Topical ``fluctuation relations'' describe symmetries of the statistical properties of certain observables, in a variety of models and…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…