Related papers: Shock Propagation and Macroeconomic Fluctuations
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
Spreading phenomena on networks are essential for the collective dynamics of various natural and technological systems, from information spreading in gene regulatory networks to neural circuits or from epidemics to supply networks…
Scalar mixing fronts develop at the interface of agitated fluids of different solute concentrations. In such fronts, scalar fluctuations form at both microscopic and macroscopic scales, due to stretching-enhanced molecular diffusion and…
Transport networks are crucial to the functioning of natural and technological systems. Nature features transport networks that are adaptive over a vast range of parameters, thus providing an impressive level of robustness in supply.…
Social, biological and economic networks grow and decline with occasional fragmentation and re-formation, often explained in terms of external perturbations. We show that these phenomena can be a direct consequence of simple imitation and…
Dynamical patterns in complex networks of coupled oscillators are both of theoretical and practical interest, yet to fully reveal and understand the interplay between pattern emergence and network structure remains to be an outstanding…
We introduce a mathematical model on the dynamics of demand and supply incorporating collectability and saturation factors. Our analysis shows that when the fluctuation of the determinants of demand and supply is strong enough, there is…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
Recent work in modeling the coupling between disease dynamics and dynamic social network geometry has led to the examination of how human interactions force a rewiring of connections in a population. Rewiring of the network may be…
The topology of production networks determines the propagation mechanisms of local shocks and thus the co-movement of industries. As a result, we need a more precisely defined production network to model economic growth accurately. In this…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
We study fluctuations in the drag force experienced by an object moving through a granular medium. The successive formation and collapse of jammed states give a stick-slip nature to the fluctuations which are periodic at small depths but…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…
Technological innovation is one of the most important variables in the evolution of the textile industry system. As the innovation process changes, so does the degree of technological diffusion and the state of competitive equilibrium in…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…
We model an economy-wide production network by cascading binary compounding functions, based on the sequential processing nature of the production activities. As we observe a hierarchy among the intermediate processes spanning the empirical…