Related papers: Predator-Prey Model for Stock Market Fluctuations
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
A coarse grained description of a two-dimensional prey-predator system is given in terms of a 3-state lattice model containing two control parameters: the spreading rates of preys and predators. The properties of the model are investigated…
Drawing on the understanding of the logistic map, we propose a simple predator-prey model where predators and prey adapt to each other, leading to the co-evolution of the system. The special dynamics observed in periodic windows contribute…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
A two-type two-sex branching process is introduced with the aim of describing the interaction of predator and prey populations with sexual reproduction and promiscuous mating. In each generation and in each species the total number of…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
We consider a stochastic individual based model where each predator searches during a random time and then manipulates its prey or rests. The time distributions may be non-exponential. An age structure allows to describe these interactions…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
We develop a set of equations to describe the population dynamics of many interacting species in food webs. Predator-prey interactions are non-linear, and are based on ratio-dependent functional responses. The equations account for…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
We consider a stochastic version of the basic predator-prey differential equation model. The model, which contains a parameter \omega which represents the number of individuals for one unit of prey -- If x denotes the quantity of prey in…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
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…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Mathematical modelling and numerical simulations of interaction populations are crucial topics in systems biology. The interactions of ecological models may occur among individuals of the same species or individuals of different species.…