Related papers: Modeling interaction of trading volume in financia…
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…
We consider a dynamic social network model in which agents play repeated games in pairings determined by a stochastically evolving social network. Individual agents begin to interact at random, with the interactions modeled as games. The…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts…
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…
Based on interactions between individuals and others and references to social norms, this study reveals the impact of heterogeneity in time preference on wealth distribution and inequality. We present a novel approach that connects the…
This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments. Given the current scarcity of flexible methods in this area, we employ a…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
Usually, opinion formation models assume that individuals have an opinion about a given topic which can change due to interactions with others. However, individuals can have different opinions in different topics and therefore n-dimensional…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…
We have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…