174 citations · 238 across the 3 of their papers we have counts for
3 papers
q-fin.RM2009★ 14 cited
Collective firm bankruptcies and phase transition in rating dynamics
Paweł Sieczka, Janusz A. Hołyst
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We s…
cond-mat.stat-mech2002★ 174 cited
Volatility clustering and scaling for financial time series due to attractor bubbling
Andrzej Krawiecki, Janusz A. Holyst, and Dirk Helbing
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to rando…
cond-mat.stat-mech2001★ 50 cited
A simple model of bank bankruptcies
A. Aleksiejuk, J. A. Holyst
Interbank deposits (loans and credits) are quite common in banking system all over the world. Such interbank co-operation is profitable for banks but it can also lead to collective…