The excessive increase of leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions since it amplifies potential investment losses. On the other side, portfolio diversification acts to mitigate these losses. Systemic risk...

A model of Brownian particles with the ability to take up energy from the environment, to store it in an internal depot, and to convert internal energy into kinetic energy of motion, is discussed. The general dynamics outlined in Section 2, is investigated for the deterministic and stochastic...

A stochastic theory is presented for nucleation and growth of clusters in a finite system. We consider a discrete cluster distribution for which the free energy and the equilibrium probability distribution are derived. The cluster growth and shrinkage occurs by the attachment/evaporation of free...

Excessive leverage, i.e. the abuse of debt financing, is considered one of the  primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework...

We study phase transitions in models of opinion formation which are based on the social impact theory. Two different models are discussed: (i) a cellular-automata-based model of a finite group with a strong leader where persons can change their opinions but not their spatial positions, and (ii)...

This paper investigates the agglomeration of active walkers (component A) on a two- dimensional surface, described by a potential U(r,t), that determines the motion of the walkers. The walkers are able to change U(rt) locally by producing a second component B, that decreases U(r,t) and which can...

We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor’s budget, x(t), depends on the stochasticity of the return on investment, r(t), for which different model assumptions are...

For a binary choice problem, the spatial coordination of decisions in an agent community is investigated both analytically and by means of stochastic computer simulations. The individual decisions are based on different local information generated by the agents with a finite lifetime and...

We study a system in which N agents have to decide between two strategies θi(i ∈ 1 … N), for defection or cooperation, when interacting with other n agents (either spatial neighbors or randomly chosen ones). After each round, they update their strategy responding nonlinearly to two...

We study the role of hierarchical structures in a simple model of collective consensus formation based on the bounded confidence model with continuous individual opinions. For the particular variation of this model considered in this paper, we assume that a bias toward an extreme opinion is...