Related papers: Business Cycles as Collective Risk Fluctuations
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
We probe flows of soft, viscous spheres near the jamming point, which acts as a critical point for static soft spheres. Starting from energy considerations, we find nontrivial scaling of velocity fluctuations with strain rate. Combining…
We study a tractable opinion dynamics model that generates long-run disagreements and persistent opinion fluctuations. Our model involves an inhomogeneous stochastic gossip process of continuous opinion dynamics in a society consisting of…
We consider cooperative processes (quantum spin chains and random walks) in one-dimensional fluctuating random and aperiodic environments characterized by fluctuating exponents omega>0. At the critical point the random and aperiodic systems…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
We introduce the price probability measure {\eta}(p;t) that defines the mean price p(1;t), mean square price p(2;t), price volatility {\sigma}p2(t)and all price n-th statistical moments p(n;t) as ratio of sums of n-th degree values C(n;t)…
To study subregions of a turbulence velocity field, a long record of velocity data of grid turbulence is divided into smaller segments. For each segment, we calculate statistics such as the mean rate of energy dissipation and the mean…
Collective dynamics result from interactions among noisy dynamical components. Examples include heartbeats, circadian rhythms, and various pattern formations. Because of noise in each component, collective dynamics inevitably involve…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
We consider tit-for-tat dynamics in production markets, where there is a set of $n$ players connected via a weighted graph. Each player $i$ can produce an eponymous good using its linear production function, given as input various amounts…
From some observations on economic behaviors, in particular changing economic conditions with time and space, we develop a very simple model for the evolution of economic entities within a geographical type of framework. We raise a few…
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…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
An array system of coupled maps is proposed as a model for economy evolution. The local dynamics of each map or agent is controlled by two parameters. One of them represents the growth capacity of the agent and the other one is a control…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…