Related papers: A threshold model of financial markets
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We analyze income tax evasion dynamics in a standard model of statistical mechanics, the Ising model of ferromagnetism. However, in contrast to previous research, we use an inhomogeneous multi-dimensional Ising model where the local degrees…
We propose a new model based on the Ising model with the aim to study synaptic plasticity phenomena in neural networks. It is today well established in biology that the synapses or connections between certain types of neurons are…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
We study the average long-time behavior of the binary opinions of a social group with peer-to-peer interactions under the influence of an external bias and a persuadable leader, a strongly-biased agent with a dynamic opinion with the…
We consider a toy model of interacting extrovert and introvert agents introduced earlier by Liu et al [Europhys. Lett. {\bf 100} (2012) 66007]. The number of extroverts, and introverts is $N$ each. At each time step, we select an agent at…
Effective interactions that violate Newton's third law of action-reaction symmetry are common in systems where interactions are mediated by a non-equilibrium environment. Extensive Monte Carlo simulations are carried out on a…
The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…
A kinetic Ising model is analyzed where spin variables correspond to lattice cells with mobile or immobile particles. Introducing additional restrictions for the flip processes according to the n-spin facilitated kinetic Ising model and…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives…
In this study the magnetization phenomenon has been investigated as a behavior of interacting elementary moments ensemble, with the help of Ising model [1] in the frame of non-extensive statistical mechanics. To investigate the physical…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…