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

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

The basic aim of the publication is to provide the tips and examine findings of energetic researchers resembling physicists, economists, mathematicians and monetary engineers operating within the box of “Econophysics,” who've undertaken the duty of modeling
and examining systemic probability, community dynamics and different topics.

Of basic curiosity in those stories is the point of systemic probability, which has lengthy been pointed out as a possible state of affairs during which monetary associations set off a perilous contagion mechanism, spreading from the monetary financial system to the genuine economy.

This kind of chance, lengthy limited to the financial marketplace, has unfold significantly within the fresh prior, culminating within the subprime trouble of 2008. As such, realizing and controlling systemic possibility has turn into a really very important societal and financial problem. The Econophys-Kolkata VI convention court cases are devoted to addressing a few key concerns concerned. a number of major researchers in those fields file on their contemporary paintings and likewise evaluation modern literature at the subject.

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Example text

Note that while the data 1 was for three years for the Kobe case, longer investigation might reveal that the effect is longer than the first three years. Actually, if one naively extrapolates the Omori law, there is a possibility that chained failures had been still going on beyond into the fourth or even longer years. We have shown that the Omori law holds for the number of aftershocks measured by chained failures after the exogenous shocks of the two large earthquakes. Let us discuss about the implication of this finding and also necessary verification to be done in our future work.

9 · 10−3 . 3 Aftershock Prediction As already mentioned above, in the present analysis we are going to identify and select Omori processes, which are manifestations of non-stationarity, within a process which manifestly turns out to be with non-stationary returns in its ensemble of daily realizations. This is a simplification which marks an important difference with respect to the problem of modeling the Omori regimes revealed in Refs. [8– 10, 12, 15, 16, 20], where they were extracted from single time series expected to be globally stationary on long time scales.

1. Furthermore, they carefully investigated the causes of bankruptcies after the Kobe Earthquake in 1995 and the East Japan Earthquake in 2011. The solo failures and link effects may have been originated from business depression and other bankruptcies in the primary shock. A typical case of solo failures is an abrupt drop of sales due to an exogenous shock in a damaged region, when the firm depends crucially on the region for its sales. Typical link effects are what we already mentioned above. We define that these cases correspond to chained failures in secondary effects due to the main shock.

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