Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the results are compared with financial volatility data

The present article synthesizes a general approach to the development of risk governance decision support systems, based upon the interdisciplinary dialogue between risk science and the complexity sciences. A conceptual review of risk science and the three main schools of the complexity sciences...

A systems theoretical thinking on the categorial object and morphism is developed, leading to a reflection on the philosophical and mathematical foundations of category theory, which allows for the introduction of a formal language for category theory and of a categorial calculus as a morphic...

The application of mathematical physics to economics has seen a recent development in the form of quantum game theory. Quantum game theory has become an important field of research in multidisciplinary applications of mathematical physics to the study of economic phenomena. We address the...

This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the...

A model is proposed of a population of competing companies that are in a coevolutionary race and whose evolutionary performance is evaluated by a financial market, composed of value investors and of a breed of arbitrageurs that perform bargain arbitrage, trying to identify 'bargains' in the form...

The current work addresses the importance of chaos theory and artificial life as scientific bases for the development of a mathematical research of risk in the systems, within the framework of risk science and risk mathematics. It is argued, in particular, that a combination of chaos theory and...

The coevolving coupled dynamics of financial markets and real economies is addressed through an integrated model of an artificial economy in which a population of competing companies have their shares traded in a financial market dominated by value investors and arbitrageurs that evaluate the...