Related papers: Systemic-risk and evolutionary stable strategies i…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
With a steadily growing human population and rapid advancements in technology, the global human network is increasing in size and connection density. This growth exacerbates networked global threats and can lead to unexpected consequences…
Biological networks of interacting agents exhibit similar topological properties for a wide range of scales, from cellular to ecological levels, suggesting the existence of a common evolutionary origin. A general evolutionary mechanism…
We discuss the feasibility of predicting, managing and subsequently manipulating, the future evolution of a Complex Adaptive System. Our archetypal system mimics a population of adaptive, interacting objects, such as those arising in the…
We analyze a model of interacting agents (e.g. prebiotic chemical species) which are represended by nodes of a network, whereas their interactions are mapped onto directed links between these nodes. On a fast time scale, each agent follows…
Static stability in economic models means negative incentives for deviation from equilibrium strategies, which we expect to assure a return to equilibrium, i.e., dynamic stability, as long as agents respond to incentives. There have been…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
We construct two models of discrete-time replicator dynamics with time delay. In the social-type model, players imitate opponents taking into account average payoffs of games played some units of time ago. In the biological-type model, new…
We consider the problem of risk diversification in complex networks. Nodes represent e.g. financial actors, whereas weighted links represent e.g. financial obligations (credits/debts). Each node has a risk to fail because of losses…
Conventional financial strategy evaluation relies on isolated backtests in static environments. Such evaluations assess each policy independently, overlook correlations and interactions, and fail to explain why strategies ultimately persist…
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…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
Eisenberg and Noe (2001) analyze systemic risk for financial institutions linked by a network of liabilities. They show that the solution to their model is unique when the financial system is satisfies a regularity condition involving risk…
We integrate dual-process theories of human cognition with evolutionary game theory to study the evolution of automatic and controlled decision-making processes. We introduce a model where agents who make decisions using either automatic or…
A generic property of biological, social and economical networks is their ability to evolve in time, creating and suppressing interactions. We approach this issue within the framework of an adaptive network of agents playing a Prisoner's…
We study a model for cascade effects over finite networks based on a deterministic binary linear threshold model. Our starting point is a networked coordination game where each agent's payoff is the sum of the payoffs coming from pairwise…
Complex change is often described as "evolutionary" in economics, policy, and technology, yet most system dynamics models remain constrained to fixed state spaces and equilibrium-seeking behavior. This paper argues that evolutionary…
Many complex adaptive systems contain a large diversity of specialized components. The specialization at the level of the microscopic degrees of freedom, and diversity at the level of the system as a whole are phenomena that appear during…
Modern ecology has re-emphasized the need for a quantitative understanding of the original 'survival of the fittest theme' based on analyzis of the intricate trade-offs between competing evolutionary strategies that characterize the…