Related papers: Disaster Resilience and Asset Prices
We study a behavioral SIR model with time-varying costs of distancing. The two main causes of the variation in the cost of distancing we explore are distancing fatigue and public policies (lockdowns). We show that for a second wave of an…
The coronavirus disease (COVID-19) has caused one of the most serious social and economic losses to countries around the world since the Spanish influenza pandemic of 1918 (during World War I). It has resulted in enormous economic as well…
This paper combines a canonical epidemiology model of disease dynamics with government policy of lockdown and testing, and agents' decision to social distance in order to avoid getting infected. The model is calibrated with data on deaths…
As of December 2020, the COVID-19 pandemic has infected over 75 million people, making it the deadliest pandemic in modern history. This study develops a novel compartmental epidemiological model specific to the SARS-CoV-2 virus and…
This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…
We introduce a theoretical framework that highlights the impact of physical distancing variables such as human mobility and physical proximity on the evolution of epidemics and, crucially, on the reproduction number. In particular, in…
Listing on the Dow Jones Sustainability Index is seen as a gold-standard, verifying to the market that a firm is fully engaged with a corporate social responsibility agenda. Robustly quantifying the impact of listing, and de-listing,…
The COVID-19 pandemic has caused a massive economic shock across the world due to business interruptions and shutdowns from social-distancing measures. To evaluate the socio-economic impact of COVID-19 on individuals, a micro-economic model…
By analysing the diffusive dynamics of epidemics and of distress in complex networks, we study the effect of the assortativity on the robustness of the networks. We first determine by spectral analysis the thresholds above which…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
In the first half of 2020, several countries have responded to the challenges posed by the Covid-19 pandemic by restricting their export of medical supplies. Such measures are meant to increase the domestic availability of critical goods,…
We study the disequilibrium dynamics of a stylised model of production networks in which firms use perishable and non-substitutable intermediate inputs, so that adverse idiosyncratic productivity shocks can trigger downstream shortages and…
The devastating health, societal, and economic impacts of the COVID-19 pandemic illuminate potential dangers of unpreparedness for catastrophic pandemic-scale cyber events. While the nature of these threats differs, the responses to…
This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MST) framework. We analyze nonlinear dependencies among the…
During a pandemic people have to find a trade-off between meeting others and staying safely at home. While meeting others is pleasant, it also increases the risk of infection. We consider this dilemma by introducing a game-theoretic network…
The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion consistent with the traditional requirements of the…
This paper undertakes a near real-time analysis of the income distribution effects of the COVID-19 crisis in Australia to understand the ongoing changes in the income distribution as well as the impact of policy responses. By…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing factors…
The COVID-19 pandemic created enormous public health and socioeconomic challenges. The health effects of vaccination and non-pharmaceutical interventions (NPIs) were often contrasted with significant social and economic costs. We describe a…