Related papers: Note on two phase phenomena in financial markets
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasses dynamical competition between a (saturating) trending and…
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…
An important challenge in several disciplines is to understand how sudden changes can propagate among coupled systems. Examples include the synchronization of business cycles, population collapse in patchy ecosystems, markets shifting to a…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free…
In the study of complex networks (systems), the scaling phenomenon of flow fluctuations refers to a certain power-law between the mean flux (activity) $<F_i>$ of the $i$th node and its variance $\sigma_i$ as $\sigma_i \propto < F_{i} >…
In epidemiological modelling, dynamics on networks, and in particular adaptive and heterogeneous networks have recently received much interest. Here we present a detailed analysis of a previously proposed model that combines heterogeneity…
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper…
We describe a new complex system model of an evolving production economy. This model is the simplest we can envisage which incorporates the new observation that the rate of an economic production process depends only on the minimum of its…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility.…
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when…
We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of…
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system…
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical…
We develop a bifurcation theory for infinite dimensional systems satisfying abstract hypotheses that are tailored for applications to mean field coupled chaotic maps. Our abstract theory can be applied to many cases, from globally coupled…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…