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Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
We develop a sequence of models describing information transmission and decision dynamics for a network of individual agents subject to multiple sources of influence. Our general framework is set in the context of an impending natural…
In human societies, people's willingness to compete and strive for better social status as well as being envious of those perceived in some way superior lead to social structures that are intrinsically hierarchical. Here we propose an…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…
In order to reproduce human behaviour in dynamic traffic situations, a computational representation of the requisite mental processes used to carry out the complex driving tasks is required. A single cognitive factor has been developed and…
In this paper we address how complex social communities emerge from local decisions by individuals with limited attention and knowledge. This problem is critical; if we understand community formation mechanisms, it may be possible to…
Reaction-diffusion systems have been proposed as a model for pattern formation and morphogenesis. The Fickian diffusion typically employed in these constructions model the Brownian motion of particles. The biological and chemical elements…
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…
Many collective systems exist in nature far from equilibrium, ranging from cellular sheets up to flocks of birds. These systems reflect a form of active matter, whereby individual material components have internal energy. Under specific…
This work investigates the effects of complex networks on the collective behavior of a three-state opinion formation model in economic systems. Our model considers two distinct types of investors in financial markets: noise traders and…
Urban systems are composed by complex couplings of several components, and more particularly between the built environment and transportation networks. Their interaction is involved in the emergence of the urban form. We propose in this…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
Causal effect estimation in networked systems is central to data-driven decision making. In such settings, interventions on one unit can spill over to others, and in complex physical or social systems, the interaction pathways driving these…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics, this new interdisciplinary field has…
In a previous paper we proposed a model to study the dynamics of opinion formation in human societies by a co-evolution process involving two distinct time scales of fast transaction and slower network evolution dynamics. In the transaction…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
We propose a new nonparametric modeling framework for causal inference when outcomes depend on how agents are linked in a social or economic network. Such network interference describes a large literature on treatment spillovers, social…