Related papers: Multidimensional Economic Complexity and Fiscal Cr…
The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover…
The relationships between diversity, productivity and scale determine much of the structure and robustness of complex biological and social systems. While arguments for the link between specialization and productivity are common, diversity…
A commonly used approach to study stability in a complex system is by analyzing the Jacobian matrix at an equilibrium point of a dynamical system. The equilibrium point is stable if all eigenvalues have negative real parts. Here, by…
Diversity is a fundamental feature of ecosystems, even when the concept of ecosystem is extended to sociology or economics. Diversity can be intended as the count of different items, animals, or, more generally, interactions. There are two…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and…
Complex systems are found in most branches of science. It is still argued how to best quantify their complexity and to what end. One prominent measure of complexity (the statistical complexity) has an operational meaning in terms of the…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
The dynamics of a nonequilibrium system can become complex because the system has many components (e.g., a human brain), because the system is strongly driven from equilibrium (e.g., large Reynolds-number flows), or because the system…
Modern macroeconomic theories were unable to foresee the last Great Recession and could neither predict its prolonged duration nor the recovery rate. They are based on supply-demand equilibria that do not exist during recessionary shocks.…
In this paper we offer a way to measure the knowledge base of an economy in terms of probabilistic entropy. This measure, we hypothesize, is an indication of the extent to which a system, including the economic system, self-organizes. In a…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
The concept of complexity appears in virtually all areas of knowledge. Its intuitive meaning shares similarities across fields, but disagreements between its details hinders a general definition, leading to a plethora of proposed…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
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…
The highly detailed international trade data among all countries in the world during 1971-2000 shows that the kinds of export goods and the logarithmic GDP (gross domestic production) of a country has an S-shaped relationship. This…
Network analysis of inter-industry payment flows reveals structural economic relationships invisible to traditional bilateral measurement approaches, with significant implications for real-time economic monitoring. Analysing 532,346 UK…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…