Related papers: Generalized Shock Model Based On The Frequency of …
We propose a phase model to study cascade failure in power grids composed of generators and loads. If the power demand is below a critical value, the model system of power grids maintains the standard frequency by feedback control. On the…
Simple models for ruptures along a heterogeneous earthquake fault zone are studied, focussing on the interplay between the roles of disorder and dynamical effects. A class of models are found to operate naturally at a critical point whose…
The fate of cities under natural hazards depends not only on hazard intensity but also on the coupling of structural damage, a collective process that remains poorly understood. Here we show that urban structural damage exhibits…
Characteristic versus critical features of earthquakes are studied on the basis of the Olami-Feder-Christensen model. It is found that the local recurrence-time distribution exhibits a sharp $\delta$-function-like peak corresponding to…
In this work the distribution of inter-occurrence times between earthquakes in aftershock sequences is analyzed and a model based on a non-homogeneous Poisson (NHP) process is proposed to quantify the observed scaling. In this model the…
The time to failure, $T$, of dynamical models of fracture for a hierarchical load-transfer geometry is studied. Using a probabilistic strategy and juxtaposing hierarchical structures of height $n$, we devise an exact method to compute $T$,…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…
In mechanical systems it is of interest to know the onset of fracture in dependence of the boundary conditions. Here we study a one-dimensional model which allows for an underlying heterogeneous structure in the discrete setting. Such…
A statistical model for describing the scaling of the distribution of inter-event times is described. By considering the diverse region seismicity (natural and induced) at different scale levels the self-similarity of the distribution has…
The distribution of the magnitudes of damage avalanches during a failure process typically follows a power law. When these avalanches are recorded close to the point at which the system fails catastrophically, we find that the power law has…
If we assume that earthquakes are chaotic, and influenced locally then chaos theory suggests that there should be a temporal association between earthquakes in a local region that should be revealed with statistical examination. To date no…
The Kuramoto-Sivashinsky equation with fixed boundary conditions is numerically studied. Shocklike structures appear in the time-averaged patterns for some parameter range of the boundary values. Effective diffusion constant is estimated…
Cascading failures triggered by trivial initial events are encountered in many complex systems. It is the interaction and coupling between components of the system that causes cascading failures. We propose a simple model to simulate…
In many complex systems studied in statistical physics, inter-arrival times between events such as solar flares, trades and neuron voltages follow a heavy-tailed distribution. The set of event times is fractal-like, being dense in some time…
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…
Composite materials, with statistically distributed threshold for breakdown of individual elements, are considered. During the failure process of such materials under external stress (load or voltage), avalanches consisting of simultaneous…
We introduce a novel class of bivariate common-shock discrete phase-type (CDPH) distributions to describe dependencies in loss modeling, with an emphasis on those induced by common shocks. By constructing two jointly evolving terminating…
We develop a forecasting methodology for providing credible forecasts for time series that have recently undergone a shock. We achieve this by borrowing knowledge from other time series that have undergone similar shocks for which…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…
In this paper a composite model for earthquake rupture initiation and propagation is proposed. The model includes aspects of damage mechanics, fiber-bundle models, and slider-block models. An array of elements is introduced in analogy to…