Econophysics of Systemic Risk and Network Dynamics
The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and an
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New Economic Windows Series Editors M ARISA FAGGINI, M AURO G ALLEGATI, A LAN P. K IRMAN Series Editorial Board Jaime Gil Aluja Departament d’Economia i Organització d’Empreses, Universitat de Barcelona, Barcelona, Spain
Fortunato Arecchi Dipartimento di Fisica, Università degli Studi di Firenze and INOA, Florence, Italy
David Colander Department of Economics, Middlebury College, Middlebury, VT, USA
Richard H. Day Department of Economics, University of Southern California, Los Angeles, USA
Steve Keen School of Economics and Finance, University of Western Sydney, Penrith, Australia
Marji Lines Dipartimento di Scienze Statistiche, Università degli Studi di Udine, Udine, Italy
Thomas Lux Department of Economics, University of Kiel, Kiel, Germany
Alfredo Medio Dipartimento di Scienze Statistiche, Università degli Studi di Udine, Udine, Italy
Paul Ormerod Directors of Environment Business-Volterra Consulting, London, UK
Peter Richmond School of Physics, Trinity College, Dublin 2, Ireland
J. Barkley Rosser Department of Economics, James Madison University, Harrisonburg, VA, USA
Sorin Solomon Racah Institute of Physics, The Hebrew University of Jerusalem, Jerusalem, Israel
Pietro Terna Dipartimento di Scienze Economiche e Finanziarie, Università degli Studi di Torino, Torino, Italy
Kumaraswamy (Vela) Velupillai Department of Economics, National University of Ireland, Galway, Ireland
Nicolas Vriend Department of Economics, Queen Mary University of London, London, UK
Lotfi Zadeh Computer Science Division, University of California Berkeley, Berkeley, CA, USA
Editorial Assistant: Anna Parziale Dipartimento di Studi Economici, Università degli Studi di Napoli “Parthenope”, Napoli, Italy
For further volumes: www.springer.com/series/6901
Frédéric Abergel r Bikas K. Chakrabarti Anirban Chakraborti r Asim Ghosh Editors
Econophysics of Systemic Risk and Network Dynamics
r
Editors Frédéric Abergel Chaire de Finance Quantitative Laboratoire de Mathématiques Appliquées aux Systèmes École Centrale Paris Châtenay-Malabry, France Bikas K. Chakrabarti Theoretical Condensed Matter Physics Division Saha Institute of Nuclear Physics Kolkata, India; Economic Research Unit Indian Statistical Institute Kolkata, India
Anirban Chakraborti Chaire de Finance Quantitative Laboratoire de Mathématiques Appliquées aux Systèmes École Centrale Paris Châtenay-Malabry, France Asim Ghosh Theoretical Condensed Matter Physics Division Saha Institute of Nuclear Physics Kolkata, India
ISSN 2039-411X ISSN 2039-4128 (electronic) New Economic Windows ISBN 978-88-470-2552-3 ISBN 978-88-470-2553-0 (eBook) DOI 10.1007/978-88-470-2553-0 Springer Milan Heidelberg New York Dordrecht London Library of Congress Control Number: 2012939162 © Springer-Verlag Italia 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physic
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