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The economic performance of Portuguese and Spanish regions : a network dynamics...
Lopes, João Carlos; Araújo, TânyaThis paper contributes to further understanding the economic performance of Portuguese and Spanish regions, using a stochastic network approach. The empirical analysis is made at the territorial level of NUT 3 regions and covers the period 1995-2008. The performance of regions is based on GDP per capita at Purchasing Power Standards. The network analysis is based on a metric space built from the correlation coe...
Interlinkages and structural changes in crossborder liabilities : a network app...
Spelta, Alessandro; Araújo, TanyaWe study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank international market is contained in a space of small dimension, from which a topological characterization could be conveniently carried out. Weighted and complete networks o...
Who replaces whom? : local versus non-local replacement in social and evolution...
Banisch, Sven; Araújo, TanyaIn this paper, we inspect well-known population genetics and social dynamics models. In these models, interacting individuals, while participating in a self-organizing process, give rise to the emergence of complex behaviors and patterns. While one main focus in population genetics is on the adaptative behavior of a population, social dynamics is more often concerned with the splitting of a connected array of i...
How Fama went wrong : measures of multivariate kurtosis for the identification ...
Araújo, Tanya; Dias, João; Eleutério, Samuel; Louçã, FranciscoThis paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kur...
Aggregation and emergence in agent based models : a markov chain approach
Banisch, Sven; Lima, Ricardo; Araújo, TanyaWe analyse the dynamics of agent-based models (ABMs) from a Markovian perspective and derive explicit statements about the possibility of linking a microscopic agent model to the dynamical processes of microscopic observables that are useful for a precise understanding of the model dynamics. In this way the dynamics of collective variables may be studied, and a description of macro dynamics as emergent properti...
Social capital and economic performance : trust and distrust in eighteenth-cent...
Costa, Leonor Freire; Rocha, Maria Manuela; Araujo, TanyaThis article discusses agency problems in a period of market boom. It takes portuguese trade with Brazil as a case study to discuss the impact of colonial market expansion on social capital. The hypothesis is that social capital depletion prompted an uneven distribution of information and a limited access to honest individuals, who might afford a premium to certain forms of agency. Given the states' inability t...
Portfolios and the market geometry
Eleutério, Samuel; Araújo, Tanya; Mendes, R. VilelaA geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space of small dimension. Here we have explored subspaces of this space to find out the relative performance of portfolios formed from companies that have the largest projections in each one of the subspaces. It was found that the best perfo...
Agent based models and opinion dynamics as Markov chains
Banisch, Sven; Lima, Ricardo; Araújo, TanyaThis paper introduces a Markov chain approach that allows a rigorous analysis of agent based opinion dynamics as well as other related agent based models (ABM). By viewing the ABM dynamics as a micro description of the process, we show how the corresponding macro description is obtained by a projection construction. Then, well known conditions for lumpability make it possible to establish the cases where the ma...
The topology of cross-border exposures : beyond the minimal spanning tree approach
Spelta, Alessandro; Araújo, TanyaThe recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where crossborder financial linkages play the fundamental role. It has also been emphasized that the relevance of these networks relies on the representation of changes follow on the occurrence of stress events. Here, from series of interbank liabilities and claims over different time perio...
National industry cluster templates and the structure of industry output dynami...
Lopes, João C.; Araújo, Tanya; Dias, João; Amaral, João F.Cluster analysis has been widely used in an Input-Output framework, with the main objective of uncover the structure of production, in order to better identify which sectors are strongly connected with each other and choose the key sectors of a national or regional economy. There are many empirical studies determining potential clusters from interindustry flows directly, or from their corresponding technical (d...
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