Special Issue "Complexity in Economic and Social Systems"

A special issue of Entropy (ISSN 1099-4300). This special issue belongs to the section "Complexity".

Deadline for manuscript submissions: 30 April 2020.

Special Issue Editors

Prof. Dr. Stanisław Drożdż
E-Mail Website
Guest Editor
1. Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, 31-342 Kraków, Poland;
2. Faculty of Computer Science and Telecommunications, Cracov University of Technology, 31-155 Kraków, Poland
Interests: complex systems; nuclear physics; quantum mechanics; multifractals; complex networks; nonlinear dynamics; deterministic chaos; random matrix theory; econophysics; quantitative linguistics
Dr. Jarosław Kwapień
E-Mail Website
Guest Editor
Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, 31-342 Kraków, Poland
Interests: complex systems; complex networks; financial markets; natural language; fractal analysis
Dr. Paweł Oświęcimka
E-Mail Website
Guest Editor
Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, 31-342 Kraków, Poland
Interests: fractals; multifractals; complex systems; time series analysis; econophysics

Special Issue Information

Dear Colleagues,

Whether complexity of a system is viewed in the purely intuitive sense of a nontrivial order that emerges spontaneously from an overall disorder or it is grasped more formally using one of several dozen mathematical, physical, and information-theoretic measures, we are surrounded by its signatures and face its manifestations almost everywhere. We are complex ourselves: We live in a society that is complex and we interact with others in a complex way. There is no exaggeration in a statement that our society is the most complex structure known to us in the universe. Social phenomena like the emergence of communication and cooperation, build-up of hierarchies and organizations, opinion formation, the emergence of political systems, and the structure and dynamics of financial markets are all among the iconic examples of the real-world complexity.

Specialists from such disciplines like mathematics, physics, information theory, and data science working together with econometrists, sociologists, quantitative linguists, and psychologists for more than a quarter century have already been dealing with such phenomena trying to describe them in a language of exact science, and to model and explain them using methods and tools that had earlier been applied successfully to natural systems. Although much has already been done and much has been achieved, the complexity of the social and economic systems is still far from being properly understood. This is why every possible effort and every meaningful contribution is welcome as it can bring us closer to the ultimate goal of understanding complexity both in reference to these systems in particular and as a physical phenomenon in general. It is also important to approach the problem from different angles by collecting many interdisciplinary works and views in one place like this Special Issue as human society eludes any narrow-scope, single-discipline analysis.

It thus becomes straightforward that we intend this Special Issue to cover a broad variety of complexity-related topics and methods in the following fields: macroeconomics, financial markets, epidemiology, opinion formation, social systems, quantitative linguistics, and time series analysis. We especially encourage to submit manuscripts that report studies carried out with models of heterogeneous interacting agents, complex networks, multifractal analysis, non-extensive statistical mechanics, and non-extensive entropy.

Prof. Dr. Stanisław Drożdż
Dr. Jarosław Kwapień
Dr. Paweł Oświęcimka
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Entropy is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1600 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • complexity
  • econophysics
  • sociophysics
  • quantitative linguistics
  • data science
  • time series analysis
  • multifractal analysis
  • non-extensive entropy
  • complex networks
  • social systems
  • financial markets
  • macroeconomics
  • epidemic spreading

Published Papers (6 papers)

Order results
Result details
Select all
Export citation of selected articles as:

Research

Jump to: Other

Open AccessArticle
The Threshold Effect of Leveraged Trading on the Stock Price Crash Risk: Evidence from China
Entropy 2020, 22(3), 268; https://doi.org/10.3390/e22030268 - 26 Feb 2020
Abstract
The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the perspective of feedback trading. We empirically demonstrate that leveraged trading has [...] Read more.
The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the perspective of feedback trading. We empirically demonstrate that leveraged trading has a threshold effect on the stock price crash risk on the basis of monthly data on leveraged trading in the Chinese stock market from January 2014 to December 2016. At a low leverage ratio, leveraged trading reduces the stock price crash risk; however, as the leverage ratio increases and exceeds a certain threshold, leveraged trading asymmetrically increases the stock price crash risk. These findings provide new insights in understanding the complexity in the Chinese stock market. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Open AccessArticle
Allometric Scaling of Mutual Information in Complex Networks: A Conceptual Framework and Empirical Approach
Entropy 2020, 22(2), 206; https://doi.org/10.3390/e22020206 - 12 Feb 2020
Abstract
Complexity and information theory are two very valuable but distinct fields of research, yet sharing the same roots. Here, we develop a complexity framework inspired by the allometric scaling laws of living biological systems in order to evaluate the structural features of networks. [...] Read more.
Complexity and information theory are two very valuable but distinct fields of research, yet sharing the same roots. Here, we develop a complexity framework inspired by the allometric scaling laws of living biological systems in order to evaluate the structural features of networks. This is done by aligning the fundamental building blocks of information theory (entropy and mutual information) with the core concepts in network science such as the preferential attachment and degree correlations. In doing so, we are able to articulate the meaning and significance of mutual information as a comparative analysis tool for network activity. When adapting and applying the framework to the specific context of the business ecosystem of Japanese firms, we are able to highlight the key structural differences and efficiency levels of the economic activities within each prefecture in Japan. Moreover, we propose a method to quantify the distance of an economic system to its efficient free market configuration by distinguishing and quantifying two particular types of mutual information, total and structural. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Open AccessArticle
Information Transfer between Stock Market Sectors: A Comparison between the USA and China
Entropy 2020, 22(2), 194; https://doi.org/10.3390/e22020194 - 07 Feb 2020
Abstract
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily [...] Read more.
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the non-bank financial sector in the Chinese market and the technology sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the bank sector in the Chinese market and the energy sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the real estate sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Open AccessArticle
Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling
Entropy 2020, 22(2), 129; https://doi.org/10.3390/e22020129 - 21 Jan 2020
Abstract
Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board [...] Read more.
Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the representative agent idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Show Figures

Figure 1

Open AccessArticle
Unexpected Information Demand and Volatility Clustering of Chinese Stock Returns: Evidence from Baidu Index
Entropy 2020, 22(1), 44; https://doi.org/10.3390/e22010044 - 28 Dec 2019
Abstract
This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the [...] Read more.
This paper employs the Baidu Index as the novel proxy for unexpected information demand and shows that this novel proxy can explain the volatility clustering of Chinese stock returns. Generally speaking, these findings suggest that investors in China could take advantage of the Baidu Index to obtain information and then improve their investment decision. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Show Figures

Figure 1

Other

Jump to: Research

Open AccessConcept Paper
What Motivates Speculators to Speculate?
Entropy 2020, 22(1), 59; https://doi.org/10.3390/e22010059 - 31 Dec 2019
Abstract
Land speculation that occurs on the urban border can be very problematic to the healthy development of cities—critical to economic growth. Speculative land investors, concerned with profits from trading in landed property, can especially affect developing countries where regulation is often poorly controlled [...] Read more.
Land speculation that occurs on the urban border can be very problematic to the healthy development of cities—critical to economic growth. Speculative land investors, concerned with profits from trading in landed property, can especially affect developing countries where regulation is often poorly controlled and overly bureaucratic. An investigation into the factors motivating land speculators operating in the urban fringe of the city of Shashemene, Ethiopia is examined. The paper, in addition to contributing to the literature, is the second-known attempt and extension of the authors’ pilot research to study the behavior of land speculators in the urban fringe of a growing Ethiopian city. A theoretical framework and conceptual breakdown are put together with historical reference to early land speculation examples. Two questionnaires were separately administered with a representative random sample of 159 members from the local land developer association (i.e., investors) and 24 senior officials from the study area. A principal component analysis categorized the most significant dynamics in controlling land speculation procurements. Results indicated motivational reasoning as the prime cause for speculative activities. Evidence indicated that land speculation is a critical dynamic for self-worth especially with business-oriented persons. Entropy, the disorder of the communicative data, suggests a possible rethinking of the way government should intervene in the urban property market. As such, developmental smart cities in Ethiopia must thoroughly consider the dynamisms of speculative activities and its effects on local housing as it moves forward–in the 2020s. Full article
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
Show Figures

Figure 1

Planned Papers

The below list represents only planned manuscripts. Some of these manuscripts have not been received by the Editorial Office yet. Papers submitted to MDPI journals are subject to peer-review.

The monetary and complex systems foundations of Minsky's Financial Instability Hypothesis

Professor Steve Keen

Honorary Professor, Institutional Research Information Service, UCL


Abstract: Minsky never developed a mathematical model of his Financial Instabilty Hypothesis, while some extant models (Keen 1995) have been criticized as "ad hoc" (Rosser 1999, p. 62). In this paper I show that my 1995 model can be derived directly from macroeconomic definitions. The resulting model, which manifests the Pomeau-Manneville intermittent route to chaos, can thus be regarded as a foundational macroeconomic model. The famous "Minsky moment" is shown to be an emergent property of this complex systems model. I also explain the dependence of Minsky's hypothesis on the existence of banks that create money by creating loans, in contrast to the empirically criticised "Loanable Funds" model where lending does not create money, and derive the role of credit in aggregate demand from first principles.

 

Many faces of complexity in econophysics

Prof. Dr. Ryszard Kutner

Centre for Methods of Physics in Economy (Econophysics), University of Warsaw, PL-00681 Warsaw, Poland

 

New Measure of Economic Development Based on the Four-Colour Theorem

Aleksander Jakimowicz and Daniel Rzeczkowski

 

Complexity and the studies of modern society: From Kolmogorov to Luhmann

Prof. Czesław Mesjasz

Cracow University of Economics

 

Macroprudential Policy in a Heterogeneous Environment – An Application of Agent-Based Approach in Systemic Risk Modelling

Mateusz Pipień and Jagoda Kaszowska-Mojsa

 

Looking at Extremes without Going to Extremes. A new Discrete-Variable Self-Exciting Probability Model for Extreme Losses in Financial Markets

Katarzyna Bień-Barkowska

 Macroprudential Policy in a Heterogeneous Environment -- Application of Agent-Based Approach in Systemic Risk Modelling

Jagoda Kaszowska-Mojsa 1 and Mateusz Pipień 2,3
1 Institute of Economics Polish Academy of Sciences
2 Cracow University of Economics
3 Department of Empirical Analyses of Economic Stability, Cracow University of Economics, Rakowicka St. 27, 31-510 Cracow, Poland

 

A Statistical Analysis of entropy variations of multi-scale returns of an optimal trader

A. R. Hernandez Montoya, Horacio Tapia McClung

 

 

Back to TopTop