This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the Brazilian financial system and include all active financial intermediaries. We show that the contagion chain has a short propagation path. We find that first-round contagion is...

We investigate a model of stratified economic interactions between agents when the notion of spatial location is introduced. The agents are placed on a network with near-neighbor connections. Interactions between neighbors can occur only if the difference in their wealth is less than a threshold...

Envy is a rather complex and irrational emotion. In general, it is very difficult to obtain a measure of this feeling, but in an economical context envy becomes an observable which can be measured. When various individuals compare their possessions, envy arises due to the inequality of their...

A deterministic system of interacting agents is considered as a model for economic dynamics. The dynamics of the system is described by a coupled map lattice with nearest neighbor interactions. The evolution of each agent results from the competition between two factors: the agent’s own...

The one-dimensional deterministic economic model recently studied by González-Estévez et al. [J. González-Estévez, M.G. Cosenza, R. López-Ruiz, J.R. Sanchez, Physica A 387 (2008) 4637] is considered on a two-dimensional square lattice with periodic boundary conditions. In this model, the...

We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining...

We study an economic model where agents trade a variety of products by using one of the three competing rules: “need”, “greed” and “noise”. We find that the optimal strategy for any agent depends on both product composition in the overall market and composition of strategies in the...

The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the...

In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the...