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An understanding of the economic landscape in a world of ever increasing data necessitates representations of data that can inform policy, deepen understanding and guide future research. Topological Data Analysis offers a set of tools which…
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…
We develop a model for the evolution of economic entities within a geographical type of framework. On a square symmetry lattice made of three (economic) regions, firms, described by a scalar fitness, are allowed to move, adapt, merge or…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
This paper is concerned with a model in econophysics, the subfield of statistical physics that applies concepts from traditional physics to economics. In our model, economical agents are represented by the vertices of a connected graph and…
Macroeconomic dynamics is typically modeled under the assumption that the economy evolves according to a single invariant law of motion. This paper shows that this assumption imposes a structural restriction. We develop Dynamic…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
We present an agent-based model of microscopic wealth exchange in a dynamic network to study the topological features associated with economic inequality. The model evolves through two alternating processes, the conservative exchange of…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Knowing and modelling the migration phenomena and especially the social and economic consequences have a theoretical and practical importance, being related to their consequences for development, economic progress (or as appropriate,…
In any ecosystem, the conditions of the environment and the characteristics of the species that inhabit it are entangled, co-evolving in space and time. We introduce a model that couples active agents with a dynamic environment, interpreted…
Environmental science almost invariably proposes problems of extreme complexity, typically characterized by strongly nonlinear evolution dynamics. The systems under investigation have many degrees of freedom - which makes them complicated -…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
A model for economic behavior, under heterogeneous spatial economic conditions is developed. The role of selection pressure in a Bak-Sneppen-like dynamics with entity diffusion on a lattice is studied by Monte-Carlo simulation taking into…
We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…