We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all pairs of assets by considering the synchronous time...

I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the...

A simple and elegant arrangement of stock components of a portfolio (market index-DJIA) in a recent paper [1], has led to the construction of crossing of stocks diagram. The crossing stocks method revealed hidden remarkable algebraic and geometrical aspects of stock market. The present paper...

Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions...

It is well-known that an $\mathbb{R}$-valued random vector $(X_1, X_2, \cdots, X_n)$ is comonotonic if and only if $(X_1, X_2, \cdots, X_n)$ and $(Q_1(U), Q_2(U),\cdots, Q_n(U))$ coincide \emph{in distribution}, for \emph{any} random variable $U$ uniformly distributed on the unit interval...

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and the Hilbert--Schmidt norm of the cross-covariance...

The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractability, the formula is now widely used in practical...

We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average the normal distribution over this ensemble. The...

We obtain a first order extension of the large deviation estimates in the G\"{a}rtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions having a similar Laplace principle expansion up to order one to that of the original family of measures. The...

We consider a simple stochastic model of a urban rental housing market, in which the interaction of tenants and landlords induces rent fluctuations. We simulate the model numerically and measure the equilibrium rent distribution, which is found to be close to a lognormal law. We also study the...