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New England Complex Systems Institute
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The financial crisis raises questions about the role science can play in the analysis of policy. The rapid decline in market value of individual corporations and the stock market as a whole in 2008 has been variously blamed on mortgage policies, or selling of borrowed securities (short selling) that amplified the impact of mortgage-backed securities. Here we show that crashes are related to panic, characterize the network of economic interdependence and analyze market regulations (the uptick rule).

Food and Commodity Markets

D.K. Albino, C. Friedman, Y. Bar-Yam, "Fuel policy wreaks global havoc," The Boston Herald (August 3, 2013).

D.K. Albino, K.Z. Bertrand, Y. Bar-Yam, Food for fuel: The price of ethanol. arXiv:1210.6080 (October 4, 2012). [PDF]

K.Z. Bertrand, G. Lindsay, Y. Bar-Yam, Food briefing, NECSI Report 2012-08-01 (August 15, 2012).

M. Lagi, Yavni Bar-Yam, Yaneer Bar-Yam, UPDATE July 2012 — The Food Crises: The US Drought (July 23, 2012). [PDF]

M. Lagi, A.S. Gard-Murray and Y. Bar-Yam, Impact of ethanol conversion and speculation on Mexico corn imports, New England Complex Systems Institute (May 2012).

M. Lagi, Yavni Bar-Yam, K.Z. Bertrand, Yaneer Bar-Yam, UPDATE February 2012 — The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion. arXiv:1203.1313 (March 6, 2012). [PDF]

M. Lagi, Yavni Bar-Yam, K.Z. Bertrand, Yaneer Bar-Yam, The Food Crises: A Quantitative Model of Food Prices Including Speculators and Ethanol Conversion. arXiv:1109.4859 (September 21, 2011). [PDF]

Debt & Crisis

M. Lagi, Y. Bar-Yam, The European debt crisis: Defaults and market equilibrium. arXiv: 1209.6369 (September 27, 2012).

C. Foote, J. Fuhrer, E. Mauskopf, and P. Willen, A Proposal to Help Distressed Homeowners: A Government Payment-Sharing Plan. Public Policy Brief No.09-1, Federal Reserve Bank of Boston. http://www.bostonfed.org/economic/ppb/2009/ppb091.pdf (July 9, 2009).

Predicting Economic Crashes by Characterizing Panic

D. Harmon, M. de Aguiar, D. Chinellato, D. Braha, I. Epstein, Y. Bar-Yam, Predicting economic market crises using measures of collective panic. arXiv:1102.2620v1 (February 13, 2010).

B. Keim, "Possible Early Warning Sign for Market Crashes," (March 18, 2011).

Financial Market Manipulation

Yavni Bar-Yam, Marcus A.M. de Aguiar, and Yaneer Bar-Yam, The $500 AAPL close: Manipulation or hedging? A quantitative analysis. NECSI Report 2013-09-01 (September 3, 2013).

V. Misra, M. Lagi, Y. Bar-Yam, Evidence of market manipulation in the financial crisis. arXiv:1112.3095 (December 13, 2011).

Market Instability

V. Misra, Y. Bar-Yam, Why flash crashes happen (August 2, 2011).

Economic Interdependence

D. Braha, B. Stacey, and Y. Bar-Yam, Corporate Competition: A Self-Organizing Network. Social Networks, Volume 33. Issue 3. Pages 219-230. July 2011.

D. Harmon, B. Stacey, Yavni Bar-Yam, and Yaneer Bar-Yam, Networks of Economic Market Interdependence and Systemic Risk. arXiv:1011.3707 (November 16, 2010).

B. Keim, "Analysis of 2008 Collapse Shows Economy Networked for Failure," (November 18, 2010).

Y. Bar-Yam, Market Failure: Interdependence in Action, (October 3, 2008). Press Release

Y. Bar-Yam, A Regulatory System for the Financial Sector of Complex Systems Science, Remarks Prepared for Congressman Capuano's Roundtable (March 16, 2009). Congressman Capuano's Response.

S. Vedantam, "The Computer as a Road Map to Unknowable Territory," Washington Post (February 16, 2009). News Item and full article.

Uptick Rule

Press Release on the Uptick Rule (November 18, 2008).

R. C. Pozen and Y. Bar-Yam, "There's a Better Way to Prevent 'Bear Raids,'" The Wall Street Journal (November 18, 2008).

"Analysis Shows Uptick Rule Vital to Market Stability," PhysOrg.com (November 18, 2008).

Interview with Robert C. Pozen, CNBC News (November 19, 2008).

Y. Bar-Yam, D. Harmon, V. Misra, and J. Ornstein, Regulation of Short Selling: The Uptick Rule and Market Stability. Report presented at the Securities and Exchange Commission (February 22, 2010).

D. Harmon and Y. Bar-Yam, Technical Report on SEC Uptick Rule Proposals (April, 2009).

D. Harmon and Y. Bar-Yam, Technical Report on the SEC Uptick Repeal Pilot (November 18, 2008).

Y. Bar-Yam and D. Harmon Flash Crash: NECSI responds to the SEC market circuit breaker rules (May 18, 2010).

Photo © Rafael Matsunaga