This paper analyzes correlations in patterns of trading of different members ofthe London Stock Exchange. The collection of strategies associated with a memberinstitution is defined by the sequence of signs of net volume traded by that insti-tution in hour intervals. Using several methods we...

Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is like the population of a species. We study a toy model of...

We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for ensuring them against intermittent,...

Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the steady-state. Here we build on a standard macroeconomic model in which a single rational...

Do boundedly rational players learn to choose equilibrium strategies as they play a game repeatedly? A large literature in behavioral game theory has proposed and experimentally tested various learning algorithms, but a comparative analysis of their equilibrium convergence properties is lacking....

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 “systemically important financial institutions” (SIFIs, now referred to as “globally systemically important banks” or G-SIBs), institutions whose failure, by...

Productivity levels and growth are extremely heterogeneous among firms. A vast literature has developed to explain the origins of productivity shocks, their dispersion, evolution and their relationship to the business cycle. We examine in detail the distribution of labor productivity levels and...

If the historical average annual real interest rate is m 0, and if the world is stationary, should consumption in the distant future be discounted at the rate of m per year? Suppose the annual real interest rate r(t) reverts to m according to the Ornstein Uhlenbeck (OU) continuous time process...

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

How is work distributed across individuals within society? And what can this tell us about career transition possibilities and job switching opportunities? This paper investigates the network structure of the division of labour by analysing discrete work activities that people undertake in...