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We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…
We focus on large blackouts in electric distribution systems caused by extreme winds. Such events have a large cost and impact on customers. To quantify resilience to these events, we formulate large event risk and show how to calculate it…
Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about the estimation errors of the estimation errors of an…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…
We study the emergence of chaotic behavior of Follow-the-Regularized Leader (FoReL) dynamics in games. We focus on the effects of increasing the population size or the scale of costs in congestion games, and generalize recent results on…
In many complex systems, large events are believed to follow power-law, scale-free probability distributions, so that the extreme, catastrophic events are unpredictable. Here, we study coupled chaotic oscillators that display extreme…
Technologies have often been observed to improve exponentially over time. In practice this often means identifying a constant known as the doubling time, describing the time period over which the technology roughly doubles in some measure…
Extreme political shocks may reshape economies not only through contemporaneous disruption but by altering beliefs about the distribution of future states. We study how such belief ruptures affect the cost of capital, expectations, and…
The trade-off between the cost of acquiring and processing data, and uncertainty due to a lack of data is fundamental in machine learning. A basic instance of this trade-off is the problem of deciding when to make noisy and costly…
In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
Injuries occur when an athlete performs a greater amount of activity (workload) than what their body can absorb. To maximize the positive effects of training while avoiding injuries, athletes and coaches need to determine safe workload…
We investigate the predictability of extreme events in time series. The focus of this work is to understand under which circumstances large events are better predictable than smaller events. Therefore we use a simple prediction algorithm…
Price of anarchy quantifies the degradation of social welfare in games due to the lack of a centralized authority that can enforce the optimal outcome. At its antipodes, mechanism design studies how to ameliorate these effects by…
Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. In this model, lines have random capacities that initially…
The first part of this paper is a brief survey of the approaches to economic inequality based on ideas from statistical physics and kinetic theory. These include the Boltzmann kinetic equation, the time-reversal symmetry, the ergodicity…
This paper asks and answers the question of whether Kahneman's planning fallacy or Hirschman's Hiding Hand best explain performance in capital investment projects. I agree with my critics that the Hiding Hand exists, i.e., sometimes benefit…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
Transport engineers employ various interventions to enhance traffic-network performance. Quantifying the impacts of Cycle Superhighways is complicated due to the non-random assignment of such an intervention over the transport network.…