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Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…

Evolutionarily stable strategy (ESS) is an important solution concept in game theory which has been applied frequently to biological models. Informally an ESS is a strategy that if followed by the population cannot be taken over by a…

In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…

By considering subexponential contributions in large deviation theory, we determine the fine structure in the probability distribution of the observable displacement of a bead coupled to a molecular motor. More generally, for any stochastic…

A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…

The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…

Dynamic cooperativity in monomeric enzymes is characterized in terms of a non-Michaelis-Menten kinetic behaviour. The latter is believed to be associated with mechanisms that include multiple reaction pathways due to enzymatic…

Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…

We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…

An activity fundamental to science is building mathematical models. These models are used to both predict the results of future experiments and gain insight into the structure of the system under study. We present an algorithm that…

Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…

Considerable insight into the functional activity of proteins and enzymes can be obtained by studying the low-energy conformational distortions that the biopolymer can sustain. We carry out the characterization of these large scale…

In the last ten years, a number of ``Conventional Fluctuation Theorems'' have been derived for systems with deterministic or stochastic dynamics, in a transient or in a non-equilibrium stationary state. These theorems gave explicit…

Exploiting previous results on Markovian dynamics and fluctuation theorems, we study the consequences of memory effects on single realizations of nonequilibrium processes within an open system approach. The entropy production along single…

We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…

While often believed to be a passive agent that merely exploits its host's metabolism, influenza virus has recently been shown to actively move across glycan-coated surfaces. This form of enzymatically driven surface motility is currently…

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…

Optimizing modern production plants using the job-shop principle is a known hard problem. For very large plants, like semiconductor fabs, the problem becomes unsolvable on a plant-wide scale in a reasonable amount of time using classical…