Related papers: Scale Invariance, Bounded Rationality and Non-Equi…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Statistical physics provides a useful perspective for the analysis of many complex systems; it allows us to relate microscopic fluctuations to macroscopic observations. Developmental biology, but also cell biology more generally, are…
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
This paper develops a unified framework in which economic dynamics is treated as evolutionary process analogous to those studied in natural sciences, including physics. Using methods from gauge field theory and plasticity, we show that the…
Choice modeling is at the core of understanding how changes to the competitive landscape affect consumer choices and reshape market equilibria. In this paper, we propose a fundamental characterization of choice functions that encompasses a…
Classical approaches to experimental design assume that intervening on one unit does not affect other units. There are many important settings, however, where this non-interference assumption does not hold, as when running experiments on…
Non-equilibrium systems lack an explicit characterisation of their steady state like the Boltzmann distribution for equilibrium systems. This has drastic consequences for the inference of parameters of a model when its dynamics lacks…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
Fluctuation theorems are a generalization of thermodynamics on small scales and provide the tools to characterize the fluctuations of thermodynamic quantities in non-equilibrium nanoscale systems. They are particularly important for…
Deterministic rate equations are widely used in the study of stochastic, interacting particles systems. This approach assumes that the inherent noise, associated with the discreteness of the elementary constituents, may be neglected when…
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…
Scale invariance has received very little attention in physics. Nevertheless, it provides a natural conceptual foundation for a relational understanding of the universe, where absolute size loses meaning and only dimensionless ratios retain…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…