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Self-organized criticality in a network of economic agents with finite consumption

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  • Jo~ao P. da Cruz
  • Pedro G. Lind

Abstract

We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a collection of economical agents which establish trade connections among them according to basic economical principles properly translated into physical properties and interaction. With our model we are able to reproduce the evolution of macroscopic quantities (indices) and to correctly retrieve the common exponent value characterizing several indices in financial markets, relating it to the underlying topology of connections.

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  • Jo~ao P. da Cruz & Pedro G. Lind, 2010. "Self-organized criticality in a network of economic agents with finite consumption," Papers 1009.5830, arXiv.org, revised Dec 2012.
    • Handle: RePEc:arx:papers:1009.5830
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    Cited by:

    1. Jiang, Nan, 2014. "WDEM: Weighted dynamics and evolution models for energy-constrained wireless sensor networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 323-331.
    2. Boon Kin Teh & Siew Ann Cheong, 2016. "The Asian Correction Can Be Quantitatively Forecasted Using a Statistical Model of Fusion-Fission Processes," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-13, October.
    3. Lee, Byung Kwon & Zhou, Rong & de Souza, Robert & Park, Jaehun, 2016. "Data-driven risk measurement of firm-to-firm relationships in a supply chain," International Journal of Production Economics, Elsevier, vol. 180(C), pages 148-157.

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