Marina Dolfin

We introduce a multiscale measure of network instability based on the joint use ofDetrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST)filtering. The proposed metric—the Elastic Detrended Cross-Correlation Ratio}(Elastic DCCR)—is defined as a finite-difference measure of the logarithmic sensitivity of the average MST length to the observation scale. It captures how the structure of cross-correlation networks deforms across different investment horizons.When applied to a network of global equity indices, the Elastic DCCR rises sharply duringepisodes of financial stress, reflecting increased short-term coordination amonginvestors and a contraction of correlation distances. The measure reveals scale-dependent reconfigurations in network topology thatare not visible in single-scale analyses, and highlights clear differencesbetween stressed and stable market regimes. The approach does not assume covariance stationarity and relies only on scale-dependent detrended correlations; as a result, it is broadly applicable to other complex systems in which interaction strength varies with scale.

This paper provides a critical overview of the mathematical kinetic theory of active particles, which is used to model and study collective systems consisting of interacting living entities, such as those involved in behavior and evolution. The main objective is to study the interactions of large systems of living entities mathematically. More specifically, the study relates to the complex features of living systems and the mathematical tools inspired by statistical physics. The focus is on the mathematical description of these interactions and their role in deriving differential systems that describe the aforementioned dynamics. The paper demonstrates that studying these interactions naturally yields new mathematical insights into systems in the natural sciences and behavioral economics.

This essay provides a critical overview of the mathematical kinetic theory of active particles, which is used to model and study collective systems consisting of interacting living entities, such as those involved in behavior and evolution. The main objective is to study the interactions of large systems of living entities mathematically. More specifically, the study relates to the complex features of living systems and the mathematical tools inspired by statistical physics. The focus is on the mathematical description of these interactions and their role in deriving differential systems that describe the aforementioned dynamics. The paper demonstrates that studying these interactions naturally yields new mathematical insights into systems in the natural sciences and behavioral economics.

We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale properties and cross-correlations are considered, particularly during stress conditions such as the COVID-19 pandemic, the invasion of Ukraine by Russia in 2022, and Brexit. We investigate whether significant disruptions reflect an imbalance in investment horizons among investors, and we propose a measure based on this imbalance to depict the impact on global financial markets. The detrended cross-correlation cost (DCCC), which is derived from detrended cross-correlation analysis, uses cross-correlations at different timescales to capture variations in investment horizons amid financial uncertainties. Our algorithm, which combines DCCC analysis and the minimum-spanning-tree filtering approach, tracks system interconnectedness and investor imbalances. We tested the DCCC indicator using daily price series of G7, Russian, and Chinese markets over the past decade and found that it increases sharply during ``crash'' periods compared to ``business as usual'' periods. Our empirical results confirm that short-term investment horizons dominate during financial instabilities; this validates our hypothesis and indicates that the DCCC can serve as a leading indicator of shifts in financial-market regimes.

This paper adopts the Kinetic Theory for Active Particles (KTAP) approach to model the dynamics of liquidity profiles on a complex adaptive network system that mimic a stylized financial market. Individual incentives of investors to form or delete a link is driven, in our modelling framework, by stochastic game-type interactions modelling the phenomenology related to policy rules implemented under Basel III, and it is exogeneously and dynamically influenced by a measure of overnight interest rate. The strategic network formation dynamics that emerges from the introduced transition probabilities modelling individual incentives of investors to form or delete links, provides a wide range of measures using which networks might be considered “best” from the point of view of the overall welfare of the system. We use the time evolution of the aggregate degree of connectivity to measure the time evolving network efficiency in two different scenarios, suggesting a first analysis of the stability of the arising and evolving network structures.