Self-Organized Criticality in a network of economic agents with finite consumption

João P. Cruz, Pedro G. Lind

We introduce a minimal agent model to explain the emergence of heavy-tailed return distributions as a result of self-organized criticality. Continue reading


Das agências de rating…

Camarada Francisco Cluny,

O problema da resiliência na opinião das agências de rating é um problema que já tinha surgido com auditoras e não precisa de uma desculpa tão sofisticada como essa do delay de informação.

Quando no princípio da década se deu o escândalo da Enron envolvendo a então chamada Arthur Andersen (hoje chamada Delloite na maior parte dos países, depois de uma operação de fusão mal explicada), o estado americano resolveu criar um pacote de legislação para combater as fraudes contabilísticas e a cumplicidade entre auditores e administrações chamada Sarbanes-Oxley Act (SOX). Continue reading

The GDP and the Derivatives (II)

On a FB comment to my last post “The GDP and the Derivatives”, Armando Vieira(1) said more or less “I see your point, but you should understand their perspective.” Despite the obvious respect I have for those (remarkable) scientists that make me “understand” their perspectives, I should think that if I don’t agree with them, then my perspective must be different from theirs. Perspective in the sense that what they see is not what I’m seeing.

Continue reading

The GDP and the Derivatives

Last Tuesday, 7, I went to a talk by Paul Embrechts (one of the guys who wrote this) in Lisbon, about risk measures. Well, for the physicists, applied mathematicians will always be a sort of “con artists” playing fast with math just to cover the assumptions that they don’t want to reveal, but Embrechts is very nice one. He seams to have a real passion for the subject and, as some people, he is not afraid to say that banking regulators are playing with our luck. With a couple of errors, though…

Continue reading