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Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US…
We investigate the community structure of the global ownership network of transnational corporations. We find a pronounced organization in communities that cannot be explained by randomness. Despite the global character of this network,…
The financial industry poses great challenges with risk modeling and profit generation. These entities are intricately tied to the sophisticated prediction of stock movements. A stock forecaster must untangle the randomness and…
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to…
The study of social emergence has long been a central focus in social science. Traditional modeling approaches, such as rule-based Agent-Based Models (ABMs), struggle to capture the diversity and complexity of human behavior, particularly…
In a previous work, we applied a field formalism to analyze capital allocation and accumulation within a network of investors and firms. In that framework, financial agents could invest in firms or in other investors, and banks-introduced…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recent strategy for asset allocation that aims at equally sharing…
To study the interplay between global market choice and local peer pressure, we construct a minority-game-like econophysical model. In this so-called networked minority game model, every selfish player uses both the historical minority…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the…
This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…