Related papers: A simple model for asset price bubble formation an…

The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…

Bubbles drive gas and chemical transfers in various industrial and geophysical contexts, in which flows are typically turbulent. As gas and chemical transfers are bubble size dependent, their quantification requires a prediction of bubble…

We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For…

We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…

We study the continuum limit of the motion of agents in the plane driven by competing short-range repulsion and long-range attractive forces. At a critical parameter value, we find destabilization of a trivial branch of uniformly…

We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…

The detailed investigation of microscopic mechanisms leading to the formation of bubble structures in the nuclei has been performed in the framework of covariant density functional theory. The main emphasis of this study is on the role of…

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…

This paper is the third in a series investigating the possibility that if we reside in an inflationary "bubble universe", we might observe the effects of collisions with other such bubbles. Here, we study the interior structure of a bubble…

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…

We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the mechanisms of speculative behavior which…

Phase separation, the spontaneous segregation of density, is a ubiquitous phenomenon observed across diverse physical and biological systems. Within a crowd of motile elements, active phase separation emerges from the interplay of activity…

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…

A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors'…

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…

A slender object undergoing an axial compression will buckle to alleviate the stress. Typically the morphology of the deformed object depends on the bending stiffness for solids, or the viscoelastic properties for liquid threads. We study a…

In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…