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We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
Chaos is widely understood as being a consequence of sensitive dependence upon initial conditions. This is the result of an instability in phase space, which separates trajectories exponentially. Here, we demonstrate that this criterion…
In molecular simulations, efficient methods for investigating equilibration and slow relaxation in dense systems are crucial yet challenging. This study focuses on the diffusional characteristics of monodisperse hard disk systems at…
We investigate the Susceptible-Infectious-Recovered contagion dynamics in a system of self-propelled particles with polar alignment. Using agent-based simulations, we analyze the outbreak process for different combinations of the spatial…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
Digital banking and online communication have made modern bank runs faster and more networked than the canonical queue-at-the-branch setting. While equilibrium models explain why strategic complementarities generate run risk, they offer…
There has been growing interest in the use of multi-robot systems in various tasks and scenarios. The main attractiveness of such systems is their flexibility, robustness, and scalability. An often overlooked yet promising feature is system…
The study of flocking in biological systems has identified conditions for self-organized collective behavior, inspiring the development of decentralized strategies to coordinate the dynamics of swarms of drones and other autonomous…
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
In this paper we introduce a simple Monte Carlo method for simulating the dynamics of a crowd. Within our model a collection of hard-disk agents is subjected to a series of two-stage steps, implying (i) the displacement of one specific…
In this paper, the formation control of multi-agent systems in random switching communication topology is studied, and the problem of excessive bandwidth and low control efficiency among multi-agents is solved. For nonlinear multi-agent…
Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks.…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…
This article introduces a decentralized robust optimization framework for safe multi-agent control under uncertainty. Although stochastic noise has been the primary form of modeling uncertainty in such systems, these formulations might fall…
Typically, contagion strength is modeled by a transmission rate $\lambda$, whereby all nodes in a network are treated uniformly in a mean-field approximation. However, local agents react differently to the same contagion based on their…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…