Related papers: Trade relationships during and after a crisis
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
This paper studies decentralized re-equilibration following population shocks, such as worker exits or firm entries, in many-to-many matching markets with contracts under substitutable preferences. We show that restricting any pre-shock…
Changes in air transport networks over time may be induced by competition among carriers, changes in regulations on airline industry, and socioeconomic events such as terrorist attacks and epidemic outbreaks. Such network changes may…
Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
As a vital strategic resource, oil has an essential influence on the world economy, diplomacy and military development. Using oil trade data to dynamically monitor and warn about international trade risks is an urgent need. Based on the UN…
I develop a continuous-time model in which an incumbent batch-service provider faces stochastic passenger arrivals and must decide when to dispatch under the threat of customer defection to a faster entrant. The incumbent's problem is…
We study how firm heterogeneity and market power affect macroeconomic fragility, defined as the probability of long slumps. We propose a theory in which the positive interaction between firm entry, competition and factor supply can give…
We develop a model where firms determine the price at which they sell their differentiable goods, the volume that they produce, and the inputs (types and amounts) that they purchase from other firms. A steady-state production network…
Over the past three decades, extreme climate events have caused losses of worth USD 4.5 trillion. Using collective bargaining model, I find that the gendered labour supply response to adverse shocks is not straightforward since it depends…
Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among investors, as they allow to capture diversification benefits.…
With the frequent occurrence of black swan events, global energy security situation has become increasingly complex and severe. Assessing the resilience of the international oil trade network (iOTN) is crucial for evaluating its ability to…
Operational disruptions in retail payments can induce behavioral responses that outlast technical recovery and may amplify liquidity stress. We propose a multi-agent model linking card payment outages to trust dynamics, channel avoidance,…
We study a process of pattern formation for a generic model of species anchored to the nodes of a network where local reactions take place, and that experience non-reciprocal long-range interactions, encoded by the network directed links.…
Ensuring food supply stability is key to food security for economies, and food imports become increasingly important to safeguard food supplies in economies with inadequate food production. Food import shocks have significant impacts on…
We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the 2009-2011 Eurozone crisis correctly. We show…
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 show that when firms compete via supply functions, transferring high-cost capacity to the largest, most efficient firm--thereby diversifying its production technologies while increasing concentration--can lower prices by prompting the…
Supply and manufacturing networks in the chemical industry involve diverse processing steps across different locations, rendering their operation vulnerable to disruptions from unplanned events. Optimal responses should consider factors…