In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...

Kirman’s “ant model” has been used to characterize the expectation formation of financial investors who are prone to herding. The model’s original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the...

The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. New models are needed to capture the structure of the...