Related papers: Hierarchical financial structures with money casca…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
We investigate the wealth evolution in a system of agents that exchange wealth through a disordered network in presence of an additive stochastic Gaussian noise. We show that the resulting wealth distribution is shaped by the degree…
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population.…
We focus on the problem of how wealth is distributed among the units of a networked economic system. We first review the empirical results documenting that in many economies the wealth distribution is described by a combination of…
Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (1996)). The authors then suggested that the two problems might…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
Turbulence is a widely observed state of fluid flows, characterized by complex, nonlinear interactions between motions across a broad spectrum of length and time scales. While turbulence is ubiquitous, from teacups to planetary atmospheres,…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
We analyze particle velocity fluctuations in a simulated granular system subjected to homogeneous quasistatic shearing. We show that these fluctuations share the following scaling characteristics of fluid turbulence in spite of their…
A new angle of view is proposed to find the simple rules dominating complex systems and regular patterns behind random phenomena such as cities. Hierarchy of cities reflects the ubiquitous structure frequently observed in the natural world…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
To the naked eye, turbulent flows exhibit whirls of many different sizes. To each size, or scale, corresponds a fraction of the total energy resulting from a cascade in five dimensions: scale, time and three-dimensional space. Understanding…
Turbulence exhibits significant velocity fluctuations even if the scale is much larger than the scale of the energy supply. Since any spatial correlation is negligible, these large-scale fluctuations have many degrees of freedom and are…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…