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We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random…
Self-organisation lies at the core of fundamental but still unresolved scientific questions, and holds the promise of de-centralised paradigms crucial for future technological developments. While self-organising processes have been…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
The theory of regular model sets is highly developed, but does not cover examples such as the visible lattice points, the k-th power-free integers, or related systems. They belong to the class of weak model sets, where the window may have a…
As a model of temporally evolving networks, we consider a globally coupled logistic map with variable connection weights. The model exhibits self-organization of network structure, reflected by the collective behavior of units. Structural…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients…
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and…
We model sectoral production by cascading binary compounding processes. The sequence of processes is discovered in a self-similar hierarchical structure stylized in the economy-wide networks of production. Nested substitution elasticities…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
We study the topological properties of the multinetwork of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the…
Complex systems are usually represented as an intricate set of relations between their components forming a complex graph or network. The understanding of their functioning and emergent properties are strongly related to their structural…
Emergent effect is crucial to understanding the properties of complex systems that do not appear in their basic units, but there has been a lack of theories to measure and understand its mechanisms. In this paper, we consider emergence as a…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
The existence of non-continuous invariant graphs (or strange non-chaotic attractors) in quasiperiodically forced systems has generated great interest, but there are still very few rigorous results about the properties of these objects. In…
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…
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…