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We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We discuss stochastic dynamics of populations of individuals playing games. Our models possess two evolutionarily stable strategies: an efficient one, where a population is in a state with the maximal payoff (fitness) and a risk-dominant…
Different evolutionary models are known to make disparate predictions for the success of an invading mutant in some situations. For example, some evolutionary mechanics lead to amplification of selection in structured populations, while…
Researchers have long proposed using economic approaches to resource allocation in computer systems. However, few of these proposals became operational, let alone commercial. Questions persist about the economic approach regarding its…
Living systems often function with regulatory interactions, but the question of how activity, stochasticity and regulations work together for achieving different goals still remains puzzling. We propose a stochastic model of an active…
Stochastic thermodynamics as reviewed here systematically provides a framework for extending the notions of classical thermodynamics like work, heat and entropy production to the level of individual trajectories of well-defined…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
A conditional entropic approach is discussed for nonequilibrium complex systems with a weak correlation between spatiotemporally fluctuating quantities on a large time scale. The weak correlation is found to constitute the fluctuation…
We analyze the probabilities of large infrequent fluctuations in systems driven by external fields. In a broad range of the field magnitudes, the logarithm of the fluctuation probability is linear in the field magnitude, and the response…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
The mechanics of cells is strongly affected by molecular motors that generate forces in the cellular cytoskeleton. We develop a model for cytoskeletal networks driven out of equilibrium by molecular motors exerting transient contractile…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
We consider a simple setting in neuroevolution where an evolutionary algorithm optimizes the weights and activation functions of a simple artificial neural network. We then define simple example functions to be learned by the network and…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
The fluctuation-dissipation theorem is a central theorem in nonequilibrium statistical mechanics by which the evolution of velocity fluctuations of the Brownian particle under a fluctuating environment is intimately related to its…
Markovian population models are suitable abstractions to describe well-mixed interacting particle systems in situation where stochastic fluctuations are significant due to the involvement of low copy particles. In molecular biology,…
This note is answering an old questioning about the F\'{e}nyes-Nelson stochastic mechanics. The Brownian nature of the quantum fluctuations, which are associated to this mechanics, is deduced from Feynman's interpretation of the Heisenberg…