Titlebook: Econophysics and Sociophysics: Recent Progress and Future Directions; Frédéric Abergel,Hideaki Aoyama,Irena Vodenska Conference proceeding

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Dynamic Portfolio Credit Risk and Large Deviationsas firm specific factors. The time movement of these factors is modelled as a vector autoregressive process. The conditional default probabilities are modelled using a general representation that subsumes popular default intensity models, logit-based models as well as threshold based Gaussian copula

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Extreme Eigenvector Analysis of Global Financial Correlation Matricester the 2008 crash. A spectral study of the moving window correlations gives significant information about the interactions between different financial indices. Eigenvalue spectra for each window is compared with the random matrix results on Wishart matrices. The upper side of the spectra outside th

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Network Theory in Macroeconomics and Financey of large data and suitable tools have made such a transition possible. The implications of such work is also apparent in settling age-old debates of micro versus macro foundations and to model and quantify shock propagation mechanisms through the networks. Here I summarize a number of major topics

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Information Asymmetry and the Performance of Agents Competing for Limited Resourcesnlikely that either of these assumptions are valid in reality. This has led to the development of theories that incorporate bounded rationality and also to the study of the role of information in economic interactions (information economics). In particular, information asymmetry, where all the agent

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