Econophysics of Systemic Risk and Network Dynamics by Gabrielle Demange (auth.), Frédéric Abergel, Bikas K.

By Gabrielle Demange (auth.), Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Asim Ghosh (eds.)

The fundamental objective of the e-book is to provide the information and examine findings of energetic researchers corresponding to physicists, economists, mathematicians and fiscal engineers operating within the box of “Econophysics,” who've undertaken the duty of modeling
and reading systemic chance, community dynamics and different topics.

Of basic curiosity in those stories is the element of systemic danger, which has lengthy been pointed out as a possible state of affairs within which monetary associations set off a perilous contagion mechanism, spreading from the monetary economic climate to the true economy.

This form of danger, lengthy restrained to the financial industry, has unfold significantly within the fresh prior, culminating within the subprime difficulty of 2008. As such, knowing and controlling systemic probability has develop into an incredibly very important societal and fiscal problem. The Econophys-Kolkata VI convention court cases are devoted to addressing a couple of key concerns concerned. numerous top researchers in those fields record on their fresh paintings and in addition evaluation modern literature at the subject.

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Thirdly, such influences were so serious that other firms in upstream or downstream side of the firms on the network eventually went into bankruptcies or financially ill-conditions as a kind of Tsunami effect. These chained failures did not necessarily take place in geographical neighbors adjacent to the north-east coast, but actually took place at geographically remote areas as depicted in Fig. 1. The top figure shows the numbers of chained failures, which are carefully defined and investigated as we shall see, in all 47 prefectures.

4] to Omori regimes has already been raised in Ref. [7]. This note is organized as follows. In Sect. 2 we briefly recall the model of Refs. [2, 3] and present the procedure of calibration. In Sect. 3 we discuss the selection of Omori-like processes from our database and show how our model can be used to analytically describe these processes. In Sect. 4 we compare the results of the properly calibrated model with the statistical records at our disposal for the S&P 500 index. 5 is devoted to general discussion and conclusions.

As shown by Fig. 9. Thus, the topology of the trees is 6 One can find all the results concerning the survival ratios in [10]. 34 D. Lautier and F. Raynaud Fig. 8 Pruned MST of the events 09/02/2004 (a) and 16/09/2008 (b) very stable: the shape of the most efficient path for the transmission of price shocks does not change much over time. Another interesting characteristic of the pruned survival ratios is that they provide information on the lifetime of a configuration of such trees. In what follows, we 2 Systemic Risk and Complex Systems: A Graph-Theory Analysis 35 measure the length of time τ between two different consecutive configurations and compute the occurrences N (τ ) of these periods.

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