Related papers: Predator-Prey Model for Stock Market Fluctuations
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
The process of evolutionary emergence of purposeful adaptive behavior is investigated by means of computer simulations. The model proposed implies that there is an evolving population of simple agents, which have two natural needs: energy…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
We discuss the feasibility of predicting, managing and subsequently manipulating, the future evolution of a Complex Adaptive System. Our archetypal system mimics a population of adaptive, interacting objects, such as those arising in the…
In recent years, there have been a lot of sharp changes in the oil price. These rapid changes cause the traditional models to fail in predicting the price behavior. The main reason for the failure of the traditional models is that they…
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…
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty,…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
Understanding the evolution of human social systems requires flexible formalisms for the emergence of institutions. Although game theory is normally used to model interactions individually, larger spaces of games can be helpful for modeling…
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…
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its…
This paper describes an agent-based model of a finite group of agents in a single population who each choose which convention to advocate, and which convention to practice. Influences or dependencies in agents choice exists in the form of…
In models for the evolution of predation from initially purely competitive species interactions, the propensity of predation is most often assumed to be a direct consequence of the relative morphological and physiological traits of…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
The forces which drive growth, development, survival and change within an ecological system involving a predator and prey specie are not easily addressed in the field. To better understand the dynamics in the system, ecologists have turned…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…
Predators often consume multiple prey and by mutually subsidizing a shared predator, the prey may reciprocally harm each other. When predation levels are high, this apparent competition can culminate in a prey species being displaced.…