Related papers: Estimating Tipping Points in Feedback-Driven Finan…
Aggregated data in real world recommender applications often feature fat-tailed distributions of the number of times individual items have been rated or favored. We propose a model to simulate such data. The model is mainly based on social…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Many climate subsystems are thought to be susceptible to tipping - and some might be close to a tipping point. The general belief and intuition, based on simple conceptual models of tipping elements, is that tipping leads to reorganization…
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…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
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…
This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
With rising global temperatures Earth's tipping elements are becoming increasingly more vulnerable to crossing their critical thresholds. The reaching of such tipping points does not only impact other tipping elements through their…
We discuss tipping phenomena (critical transitions) in nonautonomous systems using an example of a bistable ecosystem model with environmental changes represented by time-varying parameters [Scheffer et al., Ecosystems, 11 (2008), pp.…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
Online platforms in the Internet Economy commonly incorporate recommender systems that recommend products (or "arms") to users (or "agents"). A key challenge in this domain arises from myopic agents who are naturally incentivized to exploit…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
A dynamical system is said to undergo rate-induced tipping when it fails to track its quasi-equilibrium state due to an above-critical-rate change of system parameters. We study a prototypical model for rate-induced tipping, the saddle-node…
The outbreak of epidemics, the emergence of the financial crisis, the collapse of ecosystem, and the explosive spreading of rumors, we face many challenges in today's world. These real-world problems can be abstracted into a sequential…
Agent-based models are a natural choice for modeling complex social systems. In such models simple stochastic interaction rules for a large population of individuals can lead to emergent dynamics on the macroscopic scale, for instance a…
Various subsystems of the Earth system may undergo critical transitions by passing a so-called tipping point, under sustained changes to forcing. For example, the Atlantic Meridional Overturning Circulation (AMOC) is of particular…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…