Related papers: Estimating Tipping Points in Feedback-Driven Finan…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…
In this paper, we present a model of a trust-based recommendation system on a social network. The idea of the model is that agents use their social network to reach information and their trust relationships to filter it. We investigate how…
The early prediction of tipping points, distinguished by sudden and catastrophic shifts from stable states, poses a challenging task that would enable us to assess the impending threat across natural and engineered systems. This threat…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is…
A universal formula is shown to predict the dynamics of public opinion including eventual sudden and unexpected outbreaks of minority opinions within a generic parameter space of five dimensions. The formula is obtained combining and…
Using techniques from information geometry, we construct a semi-Hamiltonian system modelling trader beliefs in a binary asset market and study the impact of inequality or asymmetry in beliefs, information, and power on price dynamics. We…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
Financial markets exhibit complex dynamics where localized events trigger ripple effects across entities. Previous event studies, constrained by static single-company analyses and simplistic assumptions, fail to capture these ripple…
A tipping point can be defined as an abrupt shift in the properties or behaviour of a system. Tipping points in complex systems from a wide variety of scientific disciplines have been compared to phase transitions in physics, but consistent…
Bilateral trade, a fundamental topic in economics, models the problem of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. Despite the simplicity of this…
The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
In nonlinear dynamical systems, tipping refers to a critical transition from one steady state to another, typically catastrophic, steady state, often resulting from a saddle-node bifurcation. Recently, the machine-learning framework of…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
The future behavioural fate of a forced nonlinear system can depend sensitively on the forcing profile as well as natural fluctuations within the system. This is especially the case for rate-induced tipping, where the forcing pushes the…
We analyze a fixed panel of S\&P 500 stocks from 1996 to 2026 using complementary static and kinetic Ising models applied to daily binary open-to-close movements. The static pairwise model provides a long-run maximum-entropy summary of…