Related papers: Econophysics: Empirical facts and agent-based mode…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed…
We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
The relationships between game theory and quantum mechanics let us propose certain quantization relationships through which we could describe and understand not only quantum but also classical, evolutionary and the biological systems that…
We discuss several multi-agent models that have their origin in the kinetic exchange theory of statistical mechanics and have been recently applied to a variety of problems in the social sciences. This class of models can be easily adapted…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
The boundaries between physical and social networks have narrowed with the advent of the Internet and its pervasive platforms. This has given rise to a complex adaptive information ecosystem where individuals and machines compete for…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
Classical economics has developed an arsenal of methods, based on the idea of representative agents, to come up with precise numbers for next year's GDP, inflation and exchange rates, among (many) other things. Few, however, will disagree…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized…
The paper present one of attempts to apply the thermodynamics laws to economics. Introducing common thermodynamic parameters and considering world economics as a one macrosystem, authors demonstrate the possible consequences of entropy…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
We review an emerging body of work by physicists addressing questions of economic organization and function. We suggest that, beyond simply employing models familiar from physics to economic observables, remarkable regularities in economic…
We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities. These methods will…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
Models in econophysics, i.e., the emerging field of statistical physics that applies the main concepts of traditional physics to economics, typically consist of large systems of economic agents who are characterized by the amount of money…