Kinetic properties in inhomogeneous self-aware media
Abstract
The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the small number of situations market influenced by the actions of big firms. 3. If actions of big players lead to the arbitrage opportunity, small players could self-organize to take advantage of this opportunity. The framework is an attempt to combine approaches of Bouchaud, Gabaix, Sornette, Stanley and coauthors. Suggested framework is applied for the analysis of market impact models, behavior of big players, self-organization of market firm and volatility description.
Keywords
Cite
@article{arxiv.1308.3668,
title = {Kinetic properties in inhomogeneous self-aware media},
author = {A. Morozovskiy and A. A. Snarskii and I. V. Bezsudnov and V. A. Sevryukov and J. Malinsky},
journal= {arXiv preprint arXiv:1308.3668},
year = {2013}
}
Comments
Chapter 23 of the book "Transport processes in macroscopically disordered media (From mean field theory to percolation)" accepted for publication by Springer [32 pages, 1 figure, 2 tables]