Related papers: Market Dynamics of Information Avalanches
We describe the surface properties of a simple lattice model of a sandpile that includes evolving structural disorder. We present a dynamical scaling hypothesis for generic sandpile automata, and additionally explore the kinetic roughening…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
In many complex systems a continuous input of energy over time can be suddenly relaxed in the form of avalanches. Conventional avalanche models disregard the possibility of internal dynamical effects in the inter-avalanche periods, and thus…
The well known Sandpile model of self-organized criticality generates avalanches of all length and time scales, without tuning any parameters. In the original models the external drive is randomly selected. Here we investigate a drive which…
This Thesis explores how tools from Statistical Physics and Information Theory can help us describe and understand complex systems. In the first part, we study the interplay between internal interactions, environmental changes, and…
Experiments in various neural systems found avalanches: bursts of activity with characteristics typical for critical dynamics. A possible explanation for their occurrence is an underlying network that self-organizes into a critical state.…
A new simple model of diffusion of innovations in a social network with upgrading costs is introduced. Agents are characterized by a single real variable, their technological level. According to local information agents decide whether to…
This paper develops a Hall-Sandpile model of economic instability that combines a Hall-like transversal stress mechanism with sandpile threshold dynamics on a real production-network substrate. In analogy with the physical Hall effect,…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
The origin of power-law distributions in self-organized criticality is investigated by treating the variation of the number of active sites in the system as a stochastic process. An avalanche is then regarded as a first-return random walk…
A model is presented of the market dynamics to emphasis the effects of increasing returns to scale, including the description of the born and death of the adaptive producers. The evolution of market structure and its behavior with the…
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme events follows a stretched exponential decay in the initial…
When complex systems are driven to extinction by some external factor, their non-stationary dynamics can present an intermittent behaviour between relative tranquility and burst of activity whose consequences are often catastrophic. To…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
We explore in the mean-field approximation the robustness with respect to dissipation of self-organized criticality in sandpile models. To this end, we generalize a recently introduced self-organized branching process, and show that the…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
Avalanches of electrochemical activity in brain networks have been empirically reported to obey scale-invariant behavior --characterized by power-law distributions up to some upper cut-off-- both in vitro and in vivo. Elucidating whether…