Related papers: Hierarchical financial structures with money casca…

We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…

This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…

Exchange of resources among individual components of a system is fundamental to systems like a social network of humans and a network of cities and villages. For various reasons, the human society has come up with the notion of money as a…

The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…

We derive the scale-by-scale uncertainty energy budget equation and demonstrate theoretically and computationally the presence of a self-similar equilibrium cascade of decorrelation in an inertial range of scales during the time range of…

Classical rich-get-richer models have found much success in being able to broadly reproduce the statistics and dynamics of diverse real complex systems. These rich-get-richer models are based on classical urn models and unfold step-by-step…

We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…

We have investigated the organization and dynamics of the large turbulent structures that develop in the logarithmic and outer layers of high-Reynolds-number wall flows. These structures have sizes comparable to the flow thickness and…

Velocity differences in the direct enstrophy cascade of two-dimensional turbulence are correlated with the underlying flow topology. The statistics of the transverse and longitudinal velocity differences are found to be governed by…

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…

In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this…

A study of correlations in tractable multiparticle cascade models in terms of wavelets reveals many promising features. The selfsimilar construction of the wavelet basis functions and their multiscale localization properties provide a new…

We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto's law across economies, ideologies and nations suggests that this could be an outcome of trading strategies. However, the simple…

Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

The inequality of wealth distribution is a universal phenomenon in the civilized nations, and it is often imputed to the Matthew effect, that is, the rich get richer and the poor get poorer. Some philosophers unjustified this phenomenon and…

Reproducing complex phenomena with simple models marks our understanding of the phenomena themselves and this is what Jack Herring's work demonstrated multiple times. In that spirit, this work studies a turbulence shell model consisting of…

Shell models provide a simplified mathematical framework that captures essential features of incompressible fluid turbulence, such as the energy cascade and scaling of the fluid observables. We perform a precision analysis of the direct and…

We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…

We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown…