Related papers: Hierarchical financial structures with money casca…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
The scale and terms of aggregate borrowing in an economy depend on the manner in which wealth is distributed across potential creditors with heterogeneous beliefs about the future. This distribution evolves over time as uncertainty is…
A rational theory is proposed to describe the large-scale motion in turbulence. The fluid element with inner orientational structures is proposed to be the building block of fluid dynamics. The variance of the orientational structures then…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
The majority of practical flows, particularly those flows in applications of importance to transport, distribution and climate, are turbulent and as a result experience complex three-dimensional motion with increased drag compared with the…
We construct a model of wealth distribution, based on an interactive multiplicative stochastic process on static complex networks. Through numerical simulations we show that a decrease in the number of links discourages equality in wealth…
The large-scale structures in the ocean and the atmosphere are in geostrophic balance, and a conduit must be found to channel the energy to the small scales where it can be dissipated. In turbulence this takes the form of an energy cascade,…
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…
Time irreversibility is a distinctive feature of non-equilibrium phenomena such as turbulent flows, where irreversibility is mainly associated with an energy cascade process. An Eulerian, multiscale analysis of time irreversibility in…
We investigate wind tunnel turbulence generated by both conventional and multi-scale grids. Measurements were made in a tunnel which has a large test-section, so that possible side wall effects are very small and the length assures that the…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…
We consider a simple theoretical model to investigate the impact of inheritances on the wealth distribution. Wealth is described as a finite resource, which remains constant over different generations and is divided equally among offspring.…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
A theory of non-homogeneous turbulence is developed and is applied to boundary-free shear flows. The theory introduces assumptions of inner and outer similarity for the non-homogeneity of two-point statistics and predicts power law scalings…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
Complex systems are often characterized by large-scale hierarchical organizations. Whether the prominent elements, at the top of the hierarchy, share and control resources or avoid one another lies at the heart of a system's global…
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…