相关论文: Endogeneous Versus Exogeneous Shocks in Systems wi…

Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from…

Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or…

In this paper, we analyze the response of music and book sales to an external field and to buyer herding. We distinguish endogenous and exogenous shocks. We focus on some case studies, whose data have been collected from ranking on…

We propose a novel approach to generate chaotic business cycles in a deterministic setting. Rather than producing chaos endogenously, we consider aggregate economic models with limit cycles and equilibriums, subject them to chaotic…

We present a detailed discussion of the role played by memory, and the nature of self-induced shocks, in an evolutionary population competing for limited resources. Our study builds on a previously introduced multi-agent system [Phys. Rev.…

Many time series in natural and social sciences can be seen as resulting from an interplay between exogenous influences and an endogenous organization. We use a simple (ETAS) model of events occurring sequentially, in which future events…

Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…

Inhomogeneous temporal processes in natural and social phenomena have been described by bursts that are rapidly occurring events within short time periods alternating with long periods of low activity. In addition to the analysis of…

How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…

We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the…

Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…

We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…

We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…

We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…

When can complex ecological interactions drive an entire ecosystem into a persistent non-equilibrium state, where species abundances keep fluctuating without going to extinction? We show that high-diversity spatially-extended systems, in…

This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…

The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…

Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…

We propose a computational framework for modeling opinion dynamics in electoral competitions that combines two realistic features: voter memory and exogenous shocks. The population is represented by a fully-connected network of agents, each…

Fluctuations are inherent to biological systems, arising from the stochastic nature of molecular interactions, and influence various aspects of system behavior, stability, and robustness. These fluctuations can be categorized as intrinsic,…