Related papers: A simple model for asset price bubble formation an…
We present a simple model for describing the dynamics of the interaction between a homogeneous population or society, and the natural resources and reserves that the society needs for its survival. The model is formulated in terms of…
When complex systems are driven to extinction by some external factor, their non-stationary dynamics can present an intermittent behaviour between relative tranquility and burst of activity whose consequences are often catastrophic. To…
We study how AI agents form expectations and trade in experimental asset markets. Using a simulated open-call auction populated by autonomous Large Language Model (LLM) agents, we document three main findings. First, AI agents exhibit…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
Rational pure bubble models feature multiple (and often a continuum of) equilibria, which makes model predictions and policy analyses non-robust. We show that when the interest rate in the fundamental equilibrium is below the economic…
This work reports an experimental characterisation of the flow properties in a homogeneous bubble swarm rising at high-Reynolds-numbers within a homogeneous and isotropic turbulent flow. Both the gas volume fraction {\alpha} and the…
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this…
Cavitation and bubble dynamics are central concepts in engineering, the natural sciences, and the mathematics of fluid mechanics. Due to the nonlinear nature of their dynamics, the governing equations are not fully solvable. Here, the…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
We study an overlapping generations (OLG) exchange economy with an asset that yields dividends. First, we derive general conditions, based on exogenous parameters, that give rise to three distinct scenarios: (1) only bubbleless equilibria…
An explanation for the political processes leading to the sudden collapse of empires and states would be useful for understanding both historical and contemporary political events. We seek a general description of state collapse spanning…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
Bubbles in the interstellar medium are produced by astrophysical sources, which continuously or explosively deposit large amount of energy into the ambient medium. These expanding bubbles can drive shocks in front of them, which dynamics is…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
The Sornette-Ide differential equation of herding and rational trader behaviour together with very small random noise is shown to lead to crashes or bubbles where the price change goes to infinity after an unpredictable time. About 100 time…
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…