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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…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
This paper investigates how institutional rigidities shape inflation persistence in transition economies, focusing on labor market institutions and exchange rate regimes. Using a large panel of transition countries over the period…
Mixing and heat transfer rates are typically enhanced when operating at high-pressure transcritical turbulent flow regimes. The rapid variation of thermophysical properties in the vicinity of the pseudo-boiling region can be leveraged to…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
Stochastic dynamics in the energy representation is employed as a method to study non-equilibrium Brownian-like systems. It is shown that the equation of motion for the energy of such systems can be taken in the form of the Langevin…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
This paper investigates systemic risk transmission across stablecoin markets using Quantile Vector Autoregression (QVAR). Analyzing eight major stablecoins with day data coverage from 2021 to 2025, supplemented by minute-level event studies…
The stochastic thermodynamics provides a framework for the description of systems that are out of thermodynamic equilibrium. It is based on the assumption that the elementary constituents are acted by random forces that generate a…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
We derive the Kramers-Moyal equation for the conditional probability density of velocity increments from the theoretical model recently proposed by V.Yakhot [Phys.Rev.E {\bf 57}, 1737 (1998)] in the limit of high Reynolds number limit. We…
Low-frequency molecular fluctuations in the translational nonequilibrium zone of one-dimensional strong shock waves are characterised for the first time in a kinetic collisional framework in the Mach number range $2\le M\le 10$. Our…
Streamwise roll and streak structures (RSS) are prominent features observed in both atmospheric and oceanic planetary boundary layers (PBL) as well as in laboratory scale Wall bounded shear flows. Despite their structural similarity across…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
Postural body sway displacements for quiet standing subjects (measured with a new ultrasonic device) are reported. Two of the well known strategies for balancing, namely ankle and hip movements were probed. The data is modeled using a…
In this study, we generalize the Fokker-Planck equation to two-dimensional cases, including potential functions with periodic boundary conditions and piecewise-defined structures, to analyze the probability distribution in multi-field…