Related papers: Big is Fragile: An Attempt at Theorizing Scale
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…
Operating safely and reliably despite continual distribution shifts is vital for high-stakes machine learning applications. This paper builds upon the transformative concept of ``antifragility'' introduced by (Taleb, 2014) as a constructive…
Efficient management of infrastructure systems is crucial for economic stability, sustainability, and public safety. However, infrastructure sustainment is challenging due to the vast scale of systems, stochastic deterioration of…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
It has been found that the networks with scale-free distribution are very resilient to random failures. The purpose of this work is to determine the network design guideline which maximize the network robustness to random failures with the…
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on…
Large but rare cascades triggered by small initial shocks are present in most of the infrastructure networks. Here we present a simple model for cascading failures based on the dynamical redistribution of the flow on the network. We show…
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
Transparency is a fundamental requirement for decision making systems when these should be deployed in the real world. It is usually achieved by providing explanations of the system's behavior. A prominent and intuitive type of explanations…
Resilience is a rehashed concept in natural hazard management - resilience of cities to earthquakes, to floods, to fire, etc. In a word, a system is said to be resilient if there exists a strategy that can drive the system state back to…
Software development projects management is a complex endeavor because it requires dealing with numerous unforeseen events that constantly arise along the way and that go against the expectations that had been established at the beginning.…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
This seemed impossible to use a theoretically adequate but too sophisticated risk measure called non-ruin capital, whence its widespread (including regulatory documents) replacement with an inadequate, but simple risk measure called…
The behavior of complex networks under failure or attack depends strongly on the specific scenario. Of special interest are scale-free networks, which are usually seen as robust under random failure but appear to be especially vulnerable to…
Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor decisions and results. Adaptive skills and quantitative probabilistic methods need to…
Tolerance against failures and errors is an important feature of many complex networked systems [1,2]. It has been shown that a class of inhomogeneously wired networks called scale-free[1,3] networks can be surprisingly robust to failures,…
Most cost-benefit analyses assume that the estimates of costs and benefits are more or less accurate and unbiased. But what if, in reality, estimates are highly inaccurate and biased? Then the assumption that cost-benefit analysis is a…