Related papers: Heterogeneity and the Dynamic Effects of Aggregate…
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
Diseases and other contagion phenomena in nature and society can interact asymmetrically, such that one can benefit from the other, which in turn impairs the first, in analogy with predator-prey systems. Here, we consider two models for…
Understanding movement in heterogeneous groups is important for a meaningful evaluation of evacuation prediction and for a proper design of buildings. The understanding of interactions and influencing factors in heterogeneous groups on key…
Decisions to pursue higher education are not fully explained by economic incentives, with social influence and peer effects playing a crucial, yet dynamically understudied, role. This paper develops a theoretical non-linear dynamics model…
The response to a localized force provides a sensitive test for different models of stress transmission in granular solids. The elasto-plastic models traditionally used by engineers have been challenged by theoretical and experimental…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more…
The influence of multiplicity distribution (fluctuation of multiplicity in the event space) on the erraticity behaviour in high energy collisions is investigated via Monte Carlo simulation and compared with the experimental results from…
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
Statistics and thermally activated dynamics of crack nucleation and propagation in a two-dimensional heterogeneous material containing quenched randomly distributed defects are studied theoretically. Using the generalized Griffith criterion…
Economic choices are often stochastic: the same person may make a different choice when facing the same alternatives repeatedly. Standard models assume that the degree of randomness reflects the size of utility differences, but choice…
How to estimate heterogeneity, e.g. the effect of some variable differing across observations, is a key question in political science. Methods for doing so make simplifying assumptions about the underlying nature of the heterogeneity to…
This paper investigates how institutional wage-setting constraints, such as a national minimum wage or collectively bargained wages, affect firm responses to demand shocks. We develop a framework to interpret heterogeneous shock responses…
In this short paper, we define the investment ability of data investors in the data economy and its heterogeneity. We further construct an analytical heterogeneous agent model to demonstrate that differences in data investment ability lead…
We examine the evolutionary basis for risk aversion with respect to aggregate risk. We study populations in which agents face choices between alternatives with different levels of aggregate risk. We show that the choices that maximize the…
Social networks affect the diffusion of information, and thus have the potential to reduce or amplify inequality in access to opportunity. We show empirically that social networks often exhibit a much larger potential for unequal diffusion…
We investigate critical behaviors of a social contagion model on weighted networks. An edge-weight compartmental approach is applied to analyze the weighted social contagion on strongly heterogenous networks with skewed degree and weight…
The leverage effect refers to the generally negative correlation between the return of an asset and the changes in its volatility. There is broad agreement in the literature that the effect should be present for theoretical reasons, and it…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…