Related papers: Hybrid Atlas models
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized…
The dynamics of one dimensional iterative maps in the regime of fully developed chaos is studied in detail. Motivated by the observation of dynamical structures around the unstable fixed point we introduce the geometrical concept of a…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of…
The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive…
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
We give a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: i) granularity of an industry classification; ii) diagonality of the principal component factor…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We study the ergodic properties of two classes of random dynamical systems: a type of Markov chain which we call the \textit{alternating random walk} and a certain stochastic billiard system which describes the motion of a free-moving rough…
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 study the family of network models derived by requiring the expected properties of a graph ensemble to match a given set of measurements of a real-world network, while maximizing the entropy of the ensemble. Models of this type play the…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market of…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic…
We develop a Perron-Frobenius type theory for products of random quantum channels acting on finite-dimensional matrix algebras sampled from a stationary and ergodic stochastic process, which, in keeping with the literature, we call ergodic…