相关论文: Correlations, Risk and Crisis: From Physiology to …
The concept of biological adaptation was closely connected to some mathematical, engineering and physical ideas from the very beginning. Cannon in his "The wisdom of the body" (1932) used the engineering vision of regulation. In 1938, Selye…
Ecosystems, which are intricate amalgams of biological communities and their surrounding environments, continually evolve under the influence of their myriad interactions. The world is currently facing intensifying environmental…
The climate system is a forced, dissipative, nonlinear, complex and heterogeneous system that is out of thermodynamic equilibrium. The system exhibits natural variability on many scales of motion, in time as well as space, and it is subject…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
In 1987, we analyzed the changes in correlation graphs between various features of the organism during stress and adaptation. After 33 years of research of many authors, discoveries and rediscoveries, we can say with complete confidence: It…
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 instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
Empirical evidence suggesting that living systems might operate in the vicinity of critical points, at the borderline between order and disorder, has proliferated in recent years, with examples ranging from spontaneous brain activity to…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
Societal stress may cause far reaching political, economic and even geological effects. Nevertheless, it is still scarcely investigated, contrary to social stress, which an individual faces in their interactions within a society. It is…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
The prevalence of many urban phenomena changes systematically with population size. We propose a theory that unifies models of economic complexity and cultural evolution to derive urban scaling. The theory accounts for the difference in…
This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…
Biological populations are subject to fluctuating environmental conditions. Different adaptive strategies can allow them to cope with these fluctuations: specialization to one particular environmental condition, adoption of a generalist…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
From bird flocks to fish schools, animal groups often seem to react to environmental perturbations as if of one mind. Most studies in collective animal behaviour have aimed to understand how a globally ordered state may emerge from simple…