Related papers: Uncertainty relations in models of market microstr…

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In this way, we extend the classic reduced-form setting for credit…

We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a…

We comment on some recent, yet unpublished results concerning instabilities in complex systems and their applications. In particular, we briefly describe main observations during extensive computer simulations of two lattice nonequilibrium…

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…

The Hubbard model represents the fundamental model for interacting quantum systems and electronic correlations. Using the two-dimensional half-filled Hubbard model at weak coupling as a testing ground, we perform a comparative study of a…

We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…

We study stochastic particle systems made up of heterogeneous units. We introduce a general framework suitable to analytically study this kind of systems and apply it to two particular models of interest in economy and epidemiology. We show…

In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

Interaction is so ubiquitous that imaging a world free from it is a difficult fantasy exercise. At the same time, in understanding any complex physical system, our ability of accounting for the mutual interaction of its constituents is…

A small quantum scattering system (the microsystem) is studied in interaction with a large quantum system (the macrosystem) described by unknown stochastic variables. The interaction between the two systems is diagonal for the microsystem…

In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…

This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from a purely random way to a more chaotic…

The physical properties of magnetic nanoparticles have been investigated with focus on the influence of dipolar interparticle interaction. For weakly coupled nanoparticles, thermodynamic perturbation theory is employed to derive analytical…

In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…

The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…

The spherical spin model with infinite-range ferromagnetic interactions is investigated analytically in the framework of non-extensive thermostatics generalizing the Boltzmann-Gibbs statistical mechanics. We show that for repulsive…

Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…