Related papers: Quantitative evaluation of consecutive resilience …
Resilience broadly describes a quality of withstanding perturbations. Measures of system resilience have gathered increasing attention across applied disciplines, yet existing metrics often lack computational accessibility and…
Collectives form non-equilibrium social structures characterised by a volatile dynamics. Individuals join or leave. Social relations change quickly. Therefore, differently from engineered or ecological systems, a resilient reference state…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acceptance set is breached. We develop the corresponding…
Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…
Reinforcement learning (RL) is gaining attention by more and more researchers in quantitative finance as the agent-environment interaction framework is aligned with decision making process in many business problems. Most of the current…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
Building resilience into today's complex infrastructures is critical to the daily functioning of society and its ability to withstand and recover from natural disasters, epidemics, and cyber-threats. This study proposes quantitative…
Signal temporal logic (STL) is a powerful tool for describing complex behaviors for dynamical systems. Among many approaches, the control problem for systems under STL task constraints is well suited for learning-based solutions, because…
Resilience has emerged as a crucial concept for evaluating structural performance under disasters because of its ability to extend beyond traditional risk assessments, accounting for a system's ability to minimize disruptions and maintain…
Resilience curves are used to communicate quantitative and qualitative aspects of system behavior and resilience to stakeholders of critical infrastructure. Generally, these curves illustrate the evolution of system performance before,…
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
This article explains the distinctions between robustness and resilience in control systems. Resilience confronts a distinct set of challenges, posing new ones for designing controllers for feedback systems, networks, and machines that…