Related papers: Particle systems with singular interaction through…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Interbank deposits (loans and credits) are quite common in banking system all over the world. Such interbank co-operation is profitable for banks but it can also lead to collective financial failures. In this paper we introduce a new model…
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
We study a system of diffusing point particles in which any triplet of particles reacts and is removed from the system when the relative proximity of the constituent particles satisfies a predefined condition. Proximity-based reaction…
We introduce a new method for online parameter estimation in stochastic interacting particle systems, based on continuous observation of a small number of particles from the system. Our method recursively updates the model parameters using…
Jammed particulate systems, such as granular media, colloids, and foams, interact via one-sided forces that are nonzero only when particles overlap. We find that systems with one-sided repulsive interactions possess no linear response…
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition,…
In this paper we consider a class of interacting particle systems on dynamic random networks, in which the joint dynamics of vertices and edges acts as one-way feedback, i.e., edges appear and disappear over time depending on the state of…
We study a system of $N$ interacting particles on $\bf{Z}$. The stochastic dynamics consists of two components: a free motion of each particle (independent random walks) and a pair-wise interaction between particles. The interaction belongs…
Collapse and reverse to collapse explosion transition in self-gravitating systems are studied by molecular dynamics simulations. A microcanonical ensemble of point particles confined to a spherical box is considered; the particles interact…
In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…
Bacteria in aquatic environments often interact with particulate matter. A key example is bacterial degradation of marine snow responsible for carbon export from the upper ocean in the biological pump. The ecological interaction between…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Hypergraphs effectively model higher-order relationships in natural phenomena, capturing complex interactions beyond pairwise connections. We introduce a novel hypergraph message passing framework inspired by interacting particle systems,…
We consider a probabilistic formulation of a singular two-phase Stefan problem in one space dimension, which amounts to a coupled system of two McKean-Vlasov stochastic differential equations. In the financial context of systemic risk, this…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
We studied metastability and extinction time of a finite system with a large number of interacting components in discrete time by means of analytical and numerical investigation. The system is markovian with respect to the potential profile…