Related papers: Scale Invariance, Bounded Rationality and Non-Equi…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
A continuous time model for multiagent systems governed by reinforcement learning with scale-free memory is developed. The agents are assumed to act independently of one another in optimizing their choice of possible actions via…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We describe a method to extract from experimental data the important dynamical modes in spatio-temporal patterns in a system driven out of thermodynamic equilibrium. Using a novel optical technique for controlling fluid flow, we create an…
Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in…
There is solid theoretical and observational motivation behind the idea of scale-invariance as a fundamental symmetry of Nature. We consider a recently proposed classically scale-invariant inflationary model, quadratic in curvature and…
We study a prototypical non-polynomial decision-making model for which agents in a population potentially alternate between two consumption strategies, one related to the exploitation of an unlimited but considerably expensive resource and…
Topologically ordered systems are characterized by topological invariants that are often calculated from the momentum space integration of a certain function that represents the curvature of the many-body state. The curvature function may…
A fundamental concept in control theory is that of controllability, where any system state can be reached through an appropriate choice of control inputs. Indeed, a large body of classical and modern approaches are designed for controllable…
Physical understanding of how the interplay between symmetries and nonlinear effects can control the scaling and multiscaling properties in a coupled driven system, such as magnetohydrodynamic turbulence or turbulent binary fluid mixtures,…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
A central notion of physics is the rate of change. While mathematically the concept of derivative represents an idealization of the linear growth, power law types of non-linearities even in noiseless physical signals cause derivative…
Throughout the history of science, physics-based modeling has relied on judiciously approximating observed dynamics as a balance between a few dominant processes. However, this traditional approach is mathematically cumbersome and only…
We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
Dynamic nonlinear systems exhibit distortions arising from coupled static and dynamic effects. Their intertwined nature poses major challenges for data-driven modeling. This paper presents a theoretical framework grounded in structured…