arXiv subjects

Michael Benzaquen

Publications and source records attributed to Michael Benzaquen.

At least 19 recordsLinked to original sources

arXiv2026

A minimal model of money creation under regulatory constraints

We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the appearance of evergreen repurchase agreements and collateral re-use emerges as a simple answer to banks' counterparty risk and liquidity ratio regulation. In line with prevailing theories, re-use increases with collateral scarcity. In our agent-based model, banks create money endogenously to meet the funding requests of economic agents. The latter generate payment shocks to the banking system by reallocating their deposits. Banks absorbs these shocks thanks to repurchase agreements, while respecting reserves, liquidity, and leverage constraints. The resulting network is denser and more robust to stress scenarios than an unsecured one; in addition, the stable bank trading relationships network exhibits a core-periphery structure. Finally, we show how this model can be used as a tool for stress testing and monetary policy design.

econ.GN↗

arXiv2026

From Flight Logs to Atmospheric Science: Paragliders as Convection Sensors for Identifying Thermal Predictors

Atmospheric thermal convection drives boundary-layer dynamics and vertical exchange of heat, moisture, and momentum, yet fundamental questions about thermal structure remain open due to limited in situ observational coverage. We introduce a novel high-resolution observational dataset for atmospheric convection based on paragliding flight logs collected over metropolitan France during 2017-2024. Paragliders probe thermal updrafts by circling within them while carrying GPS variometers that record position and altitude; each climbing segment samples the vertical velocity field within a thermal column. Aggregated across 1.47 million climbing segments from 110,730 flights, this dataset provides unprecedented spatial coverage and temporal resolution. To demonstrate the value of this observational resource, we extract three physically distinct observables from climbing segments and characterize their dependence on terrain, season, time of day, cloud state, and soil moisture. Coupling the paragliding observations with global atmospheric reanalysis data (ERA5, 0.25 degrees hourly) through a regression framework against 118 physically interpretable predictors, we identify leading atmospheric predictors of these observables. The empirical relationship between ceiling height and temperature-dew point depression matches the theoretical lifting condensation level scaling with striking precision supporting our methodology. Boundary-layer height emerges as the leading independent predictor of both ceiling height and thermal strength across all terrains and seasons, while vertical-velocity variability is controlled by surface heat-flux and wind variables. Taken together, our results highlight the utility of crowdsourced flight-log data for investigating atmospheric convection.

physics.ao-ph↗

arXiv2026

Harmonious Color Pairings: Insights from Human Preference and Natural Hue Statistics

While color harmony has long been studied in art and design, a clear consensus remains elusive, as most models are grounded in qualitative insights or limited datasets. In this work, we present a quantitative, data-driven study of color pairing preferences using controlled hue-based palettes in the HSL color space. Participants evaluated combinations of thirteen distinct hues, enabling us to construct a preference matrix and define a combinability index for each color. Our results reveal that preferences are highly hue dependent, thereby challenging classical color harmony theories. Yet, when averaged over hues, statistically meaningful patterns of aesthetic preference emerge, with certain hue separations perceived as more harmonious. Strikingly, these patterns align with hue distributions found in natural landscapes, pointing to a statistical correspondence between human color preferences and the structure of color in nature. Finally, we analyze our color-pairing score matrix through principal component analysis, which uncovers two complementary hue groups whose interplay underlies the global structure of color-pairing preferences. Together, these findings offer a quantitative framework for studying color harmony and its potential perceptual and ecological underpinnings.

cs.HC↗

arXiv2026

Wealth Inequality and Planetary Boundaries in a Stylized Agent-Based Model

At the intersection of rising wealth inequality and intensifying environmental pressures, we investigate a reverse causal relationship that has received comparatively little attention: wealth inequality may not only be a consequence of environmental crises, but also act as a structural obstacle to the ecological transition itself. We develop a stylized agent-based model in which heterogeneous agents, whose initial wealth follows a Pareto distribution, allocate their income between either a Brown or a Green sector through a utility function. The function is designed to capture the trade-off between short-term returns and exposure to long-term systemic risks. A central ingredient is that wealthier agents perceive themselves as less vulnerable to environmental shocks, thereby reducing the amount of resources available for the transition. We show that, beyond inequality thresholds compatible with those observed in most developed countries, the economy remains locked in a Brown regime, even when a substantial share of agents is sensitive to externalities. We then assess a set of stylized fiscal policies (basic income, carbon taxation, Green incentives, and a combined scheme) and find that their effectiveness depends strongly on the inequality regime and on the regressivity embedded in the fiscal mechanism, revealing multidimensional trade-offs between transition speed, cumulative environmental destruction, growth, and fiscal pressure.

physics.soc-ph↗

arXiv2026

Do Venture Capitalists Beat Random Allocation?

Venture capital outcomes are dominated by a small number of extreme successes, making it difficult to distinguish investor skill from favorable realizations in a highly skewed return distribution. We study this question by comparing empirical VC portfolios to a constrained random benchmark that preserves key portfolio characteristics, including timing, geography, sector composition, and portfolio size, while randomizing individual company selection. Across funding stages, empirical portfolio distributions appear remarkably close to their random benchmarks. We find no evidence that portfolio construction increases the probability of high-multiple outcomes: the right tail remains statistically indistinguishable from random allocation. Deviations in the lower part of the distribution are small and sensitive to the interpretation of zero outcomes, suggesting at most weak evidence of downside improvement. We further introduce a rank-based benchmark distribution to evaluate outperformance at each position in the cross-section. This analysis shows that even the best-performing portfolios do not exceed the outcomes expected for their rank under random sampling. Our results suggest that VC portfolio outcomes are largely consistent with constrained random allocation, highlighting the difficulty of identifying aggregate skill in heavy-tailed investment environments. A similar conclusion holds for the performance of financial analysts in predicting future earnings.

econ.GN↗

arXiv2026

From Random Walks to Thermal Rides: Universal Anomalous Transport in Soaring Flights

Cross-country soaring flights rely on intermittent atmospheric updrafts to cover long distances, producing trajectories that alternate between rapid relocation and local exploration. From a large dataset of paraglider, hang glider, and sailplane flights, we uncover a universal transport law: beyond short ballistic times, horizontal motion is persistently sub-ballistic, with a Hurst exponent $\approx 0.88$ largely independent of aircraft type. Phase-resolved analysis using a probabilistic segmentation method shows that this scaling arises from the fundamentally intermittent, two-dimensional, and directionally correlated nature of soaring transport, in which successive ballistic segments do not add coherently. We find that learning, in the sense of experience-driven improvements in exploration and decision-making, manifests primarily in the search phase, enhancing the ability to efficiently probe the air mass and locate the next thermal. Overall, our results suggest that atmospheric structure and the generic organization of the transition-search-climb cycle dominate transport properties, placing human soaring alongside biological and physical systems where anomalous transport emerges from intermittency and persistence.

cond-mat.stat-mech↗

arXiv2025

Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration

This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., & Bouchaud, J. P., Quantitative Finance, 23(5), 741-758 (2023). We propose a non-parametric calibration method based on the general method of moments applied to a coarse-grained version of the MQHawkes model. This allows us to bypass challenges inherent to tick by tick data. Our main methodological innovation is a multi-step calibration procedure, first focusing on ''self'' feedback kernels, and then progressively including cross-effects. Indeed, while cross-effects are significant and interpretable, they are usually one order of magnitude smaller than self-effects, and must therefore be disentangled from noise with care. For numerical stability, we also restrict to pair interactions and only calibrate bi-variate QHawkes, neglecting higher-order interactions. Our main findings are: (a) While cross-Hawkes feedback effects have been empirically studied previously, cross-Zumbach effects are clearly identified here for the first time. The effect of recent trends of the E-Mini futures contract onto the volatility of other futures contracts is especially strong; (b) We have identified a new type of feedback that couples past realized covariance between two assets and future volatility of these two assets, with the pair E-Mini vs TBOND as a case in point; (c) A cross-leverage effect, whereby the sign of the return of one asset impacts the volatility of another asset, is also clearly identified. The cross-leverage effect between the E-Mini and the residual volatility of single stocks is notable, and surprisingly universal across the universe of stocks that we considered.

q-fin.TR↗

arXiv2025

Hydrodynamics of Cooperation and Self-Interest in a Two-Population Occupation Model

We study the hydrodynamics of a system of agents who optimize either their individual utility (self-interest) or the collective welfare (cooperation). When agents act selfishly, their interactions are non-reciprocal, driving the system out of equilibrium; by contrast, purely altruistic dynamics restore reciprocity and yield an equilibrium-like description. We investigate how mixtures of these two behaviors shape the macroscopic properties of the liquid of agents. For highly rational agents, we find that introducing a small fraction of altruists can suppress the sub-optimal clustering induced by selfish dynamics. This phenomenon can be attributed to altruists localizing at interfaces and acting as effective surfactants, shedding a new light on earlier findings in fixed neighborhood-based models [Phys. Rev. Lett. \textbf{120}, 208301 (2018)]. When agents are boundedly rational, we introduce a well-mixed approximation that reduces the two-population model to a single effective scalar field theory. This allows us to leverage state-of-the-art tools from active matter to analytically characterize how altruism modifies surface tension and nucleation dynamics.

cond-mat.stat-mech↗

arXiv2025

Farm Size Matters: A Spatially Explicit Ecological-Economic Framework for Biodiversity and Pest Management

The intensification of European agriculture, characterized by increasing farm sizes, landscape simplification and reliance on synthetic pesticides, remains a key driver of biodiversity decline. While many studies have investigated this phenomenon, they often focus on isolated elements, resulting in a lack of holistic understanding and leaving policymakers and farmers with unclear priorities. This study addresses this gap by developing a spatially explicit ecological economic model designed to dissect the complex interplay between landscape structure and pesticide application, and their combined effects on natural enemy populations and farmers' economic returns. In particular, the model investigates how these relationships are modulated by farm size (a crucial aspect frequently overlooked in prior research). By calibrating on the European agricultural sector, we explore the ecological and economic consequences of various policy scenarios. We show that the effectiveness of ecological restoration strategies is strongly contingent upon farm size. Small to medium-sized farms can experience economic benefits from reduced pesticide use when coupled with hedgerow restoration, owing to enhanced natural pest control. In contrast, large farms encounter challenges in achieving comparable economic gains due to inherent landscape characteristics. This highlights the need to account for farm size in agri-environmental policies in order to promote biodiversity conservation and agricultural sustainability.

econ.GN↗

arXiv2025

Group-Level Imitation May Stabilize Cooperation

Stabilizing cooperation among self-interested individuals presents a fundamental challenge in evolutionary theory and social science. While classical models predict the dominance of defection in social dilemmas, empirical and theoretical studies have identified various mechanisms that promote cooperation, including kin selection, reciprocity, and spatial structure. In this work, we investigate the role of localized imitation in the evolutionary dynamics of cooperation within an optional Public Goods Game (PGG). We introduce a model where individuals belong to distinct groups and adapt their strategies based solely on comparisons within their own group. We identify different dynamical regimes, including stable fixed points, limit cycles, and Rock-Scissors-Paper-type oscillations. Our analysis, grounded in a replicator-type framework, reveals that such group-level imitation can stabilize cooperative behavior, provided that groups are not initially polarized around a single strategy. In other words, restricting imitation to group-level interactions mitigates the destabilizing effects of global competition, providing a potential explanation for the resilience of cooperation in structured populations.

physics.soc-ph↗

arXiv2025

The Diffusive Nature of Housing Prices

We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the two-dimensional random diffusion equation -- local interactions may create long-range correlations. We introduce a stylized model, used in the past to model spatial regularities in voting patterns, that accounts for both spatial and temporal correlations with reasonable values of parameters. Our analysis reveals that price shocks are persistent in time and their amplitude is strongly heterogeneous in space. Our study confirms and quantifies the diffusive nature of housing prices that was anticipated long ago (Clapp et al. 1994, Pollakowski et al. 1997), albeit on much restricted, local data sets.

cond-mat.stat-mech↗

arXiv2025

Mitigating Farmland Biodiversity Loss: A Bio-Economic Model of Land Consolidation and Pesticide Use

Biodiversity loss driven by agricultural intensification is a pressing global issue, with significant implications for ecosystem stability and human well-being. Existing policy instruments have so far proven insufficient in halting this decline, which raises the need to explore the possible feedback loops that are pivotal to ecosystem degradation. We design a minimal integrated bio-economic agent-based model to qualitatively explore macro-level biodiversity trends, as influenced by individual farmer behavior within simple decision-making processes. Our model predicts further biodiversity decline under a business-as-usual scenario, primarily due to intensified land consolidation. We evaluate two policy options: reducing pesticide use and subsidizing small farmers. While pesticide reduction rapidly benefits biodiversity in the beginning, it eventually leads to increased land consolidation and further biodiversity loss. In contrast, subsidizing small farmers by reallocating a small fraction of existing subsidies, stabilizes farm sizes and enhances biodiversity in the long run. The most effective strategy results from combining both policies, leveraging pesticide reduction alongside targeted subsidies to balance economic pressures and consistently improve biodiversity.

econ.GN↗

arXiv2024

The Structure of Occupational Mobility in France

In an era of rapid technological advancements and macroeconomic shifts, worker reallocation is necessary, yet responses to labor market shocks remain sluggish, making it crucial to identify bottlenecks in occupational transitions to understand labor market dynamics and improve mobility. In this study, we analyze French occupational data to uncover patterns of worker mobility and pinpoint specific occupations that act as bottlenecks which impede rapid reallocation. We introduce two metrics, transferability and accessibility, to quantify the diversity of occupational transitions and find that bottlenecks can be explained by a condensation effect of occupations with high accessibility but low transferability. Transferability measures the variety of transitions from an occupation to others, while accessibility assesses the variety of transitions into an occupation. We provide a comprehensive framework for analyzing occupational complexity and mobility patterns, offering insights into potential barriers and pathways for efficient retraining programs. We argue that our approach can inform policymakers and stakeholders aiming to enhance labor market efficiency and support workforce adaptability.

econ.GN↗

arXiv2024

Stylized facts in money markets: an empirical analysis of the eurozone data

Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in- and out-degree symmetry than what is reported for unsecured markets.

econ.GN↗

arXiv2024

How does liquidity shape the yield curve?

The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the order flows, we elevate the model from purely describing price variations to a microstructural model that incorporates the joint dynamics of prices and order flows, accounting for both impact and cross-impact effects. Remarkably, this framework allows for at least the same explanatory power as existing cross-impact models, while using significantly fewer parameters. In addition, our model generates liquidity-dependent correlations between the forward rate of one tenor and the order flow of another, consistent with recent empirical findings. We show that the model also account for the non-martingale behavior of prices at short timescales.

q-fin.TR↗

arXiv2024

Socioeconomic agents as active matter in nonequilibrium Sakoda-Schelling models

How robust are socioeconomic agent-based models with respect to the details of the agents' decision rule? We tackle this question by considering an occupation model in the spirit of the Sakoda-Schelling model, historically introduced to shed light on segregation dynamics among human groups. For a large class of utility functions and decision rules, we pinpoint the nonequilibrium nature of the agent dynamics, while recovering the equilibrium-like phase separation phenomenology. Within the mean field approximation we show how the model can be mapped, to some extent, onto an active matter field description. Finally, we consider non-reciprocal interactions between two populations, and show how they can lead to non-steady macroscopic behavior. We believe our approach provides a unifying framework to further study geography-dependent agent-based models, notably paving the way for joint consideration of population and price dynamics within a field theoretic approach.

cond-mat.stat-mech↗

arXiv2024

On the relative packing densities of pistachios and pistachio shells

Given an appetizer bowl full of $N$ pistachios, what is the optimal size of the container -- neither too small, nor too big -- needed for accommodating the resulting $2N$ non-edible pistachio shells? Performing a simple experiment we find that, provided the shells are densely packed, such container needs only be slightly more than half ($\approx 0.57$) that of the original pistachio bowl. If loosely packed this number increases to $\approx 0.73$. Our results are discussed in light of existing literature on packing ellipsoids and spherical caps.

cond-mat.soft↗

arXiv2024

Riding Wavelets: A Method to Discover New Classes of Price Jumps

Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system (endogenous), or from external shocks (exogenous). The possibility of separating these two classes of events has critical implications for professionals in those fields. We introduce an unsupervised framework leveraging a representation of jump time-series based on wavelet coefficients and apply it to stock price jumps. In line with previous work, we recover the fact that the time-asymmetry of volatility is a major feature. Mean-reversion and trend are found to be two additional key features, allowing us to identify new classes of jumps. Furthermore, thanks to our wavelet-based representation, we investigate the reflexive properties of co-jumps, which occur when multiple stocks experience price jumps within the same minute. We argue that a significant fraction of co-jumps results from an endogenous contagion mechanism.

q-fin.GN↗