相关论文: Endogeneous Versus Exogeneous Shocks in Systems wi…
We analyse large deviations of time-averaged quantities in stochastic processes with long-range memory, where the dynamics at time t depends itself on the value q_t of the time-averaged quantity. First we consider the elephant random walk…
Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Large-scale power failures are induced by nearly all natural disasters from hurricanes to wild fires. A fundamental problem is whether and how recovery guided by government policies is able to meet the challenge of a wide range of…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
We describe a form of memory exhibited by extended excitable systems driven by stochastic fluctuations. Under such conditions, the system self-organizes into a state characterized by power-law correlations thus retaining long-term memory of…
Life is fundamentally a scientific enigma. The interplay between chaos, entropy dynamics, and Prigogine's dissipative systems offers profound insights into the emergence, stabilization, and eventual collapse of far-from-equilibrium systems.…
A stochastic model of excitatory and inhibitory interactions which bears universality traits is introduced and studied. The endogenous component of noise, stemming from finite size corrections, drives robust inter-nodes correlations, that…
Physical risks, such as droughts, floods, rising temperatures, earthquakes, infrastructure failures, and geopolitical conflicts, can ripple through global supply chains, raising costs, and constraining production across industries.…
When we look at the world around us, we see complex physical systems and emergent phenomena. Emergence occurs when a system is observed to have properties that its parts do not have on their own. These properties or behaviors emerge only…
Stochasticity is both exploited and controlled by cells. Although the intrinsic stochasticity inherent in biochemistry is relatively well understood, cellular variation, or 'noise', is predominantly generated by interactions of the system…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
Biological activities are often seen entrained onto the day-night and other celestial mechanical cycles (e.g., seasonal and lunar), but studies on the origin of life have largely not accounted for such periodic external environmental…
The aim of this study is to contribute to the theory of exogenous economic shocks and their equivalents in an attempt to explain business cycle fluctuations, which still do not have a clear explanation. To this end the author has developed…
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…
This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…
Protein evolution involves mutations occurring across a wide range of time scales. In analogy with disordered systems in statistical physics, this dynamical heterogeneity suggests strong correlations between mutations happening at distinct…
The causes of major and rapid transitions observed in biological macroevolution as well as in the evolution of social systems are a subject of much debate. Here we identify the proximate causes of crashes and recoveries that arise…
There is a commonality among contagious diseases, tweets, urban crimes, nuclear reactions, and neuronal firings that past events facilitate the future occurrence of events. The spread of events has been extensively studied such that the…
Rock masses in deep underground environments under high in-situ stress often exhibit episodic creep behavior, driven by complex interactions between external perturbation and internal reorganization. The causes of these creep episodes and…