Related papers: Crash Avoidance in a Complex System
We study minority games in efficient regime. By incorporating the utility function and aggregating agents with similar strategies we develop an effective mesoscale notion of state of the game. Using this approach, the game can be…
The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…
We investigate and defend the possibility of causing a stock market crash via small manipulations of individual stock values that together realize an adversarial example to financial forecasting models, causing these models to make the…
This paper introduces a new approach of treating platoon systems using mean-variance control formulation. The underlying system is a controlled switching diffusion in which the random switching process is a continuous-time Markov chain.…
We analyze grand-canonical minority games with infinite and finite score memory and different updating timescales (from `on-line' games to `batch' games) in detail with various complementary methods, both analytical and numerical. We focus…
The causes of major and rapid transitions observed in biological macroevolution as well as in the evolution of social systems are a subject of much debate. Here we identify the proximate causes of crashes and recoveries that arise…
Short-term survival and an exuberant plunge into building our future are generating a new kind of unintended consequence -- hidden fragility. This is a direct effect of the sophistication and structural complexity of the socio-technical…
Dynamical systems can be prone to severe fluctuations due to the presence of chaotic dynamics. This paper explains for a toy chaotic economic model how such a system can be regulated by the application of relatively weak control to keep the…
In this chapter the complex systems are discussed in the context of economic and business policy and decision making. It will be showed and motivated that social systems are typically chaotic, non-linear and/or non-equilibrium and therefore…
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…
Markov Chain Monte Carlo (MCMC) algorithms are often used for approximate inference inside learning, but their slow mixing can be difficult to diagnose and the approximations can seriously degrade learning. To alleviate these issues, we…
When mathematical modelling is applied to capture a complex system, multiple models are often created that characterize different aspects of that system. Often, a model at one level will produce a prediction which is contradictory at…
A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an unexpected increase of fluctuations in…
Markov decision processes continue to gain in popularity for modeling a wide range of applications ranging from analysis of supply chains and queuing networks to cognitive science and control of autonomous vehicles. Nonetheless, they tend…
We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their holdings of a risky asset via trading strategies with…
We discover the mechanism for the transition from self-segregation (into opposing groups) to clustering (towards cautious behaviors) in the evolutionary minority game (EMG). The mechanism is illustrated with a statistical mechanics analysis…
This dissertation highlights connections between the fields of neural networks, game theory and time series generation. The concept of antipredictability is explained, and the properties of time series that are antipredictable for several…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
We study the large-scale dynamics of event chain Monte Carlo algorithms in one dimension, and their relation to the true self-avoiding walk. In particular, we study the influence of stress, and different forms of interaction on the…
The minority game is a simple congestion game in which the players' main goal is to choose among two options the one that is adopted by the smallest number of players. We characterize the set of Nash equilibria and the limiting behavior of…