Related papers: Hierarchical financial structures with money casca…
In this paper we discuss the dynamical features of intermittent fluctuations in homogeneous shear flow turbulence. In this flow the energy cascade is strongly modified by the production of turbulent kinetic energy related to the presence of…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
To answer the question whether a cascade of energy exists or not in turbulence, we propose a set of correlation functions able to test if there is an irreversible transfert of energy, step by step, from large to small structures. These…
Turbulence has strong and seemingly random fluctuations. Assessing its repeatability is key to predicting flows in technology and nature, much of which decay as viscosity dissipates energy. Much has been done to this end since the work of…
The interaction between near-wall turbulence and wall curvature is described for the incompressible flow in a plane channel with a small concave-convex-concave bump on the bottom wall, with height comparable to the wall-normal location of…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
This article discusses the description of wall-bounded turbulence as a deterministic high-dimensional dynamical system of interacting coherent structures, defined as eddies with enough internal dynamics to behave relatively autonomously…
Turbulence theory is usually concerned with the statistical moments of the velocity or its fluctuations. One could also analyze the implicit probability distributions. This is the purview of information theory. Here we use information…
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
Energy transfers from larger to smaller scales in turbulence. This energy cascade is a process of the creation of smaller-scale coherent vortices by larger ones. In our recent study (Yoneda, Goto and Tsuruhashi 2021), we reformulated the…
Turbulent flows are out-of-equilibrium because the energy supply at large scales and its dissipation by viscosity at small scales create a net transfer of energy among all scales. Here, the energy cascade is approximated by a combined…
We introduce a wide family of stochastic processes that are obtained as sums of self-similar localized "waveforms" with multiplicative intensity in the spirit of the Richardson cascade picture of turbulence. We establish the convergence and…
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…