Related papers: Collective behavior in financial market
Theoretical computer science plays an important role in the understanding of social networks and their properties. We can model information rippling throughout social networks, or the opinions of social media users for example, using graph…
The ability to achieve coordinated behavior -- engineered or emergent -- on networked systems has attracted widespread interest over several fields. This interest has led to remarkable advances in developing a theoretical understanding of…
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement 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…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…
The emergence of collective behaviors in networks of dynamical units in pairwise interaction has been explained as the effect of diffusive coupling. How does the presence of higher-order interaction impact the onset of spontaneous or…
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that…
This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an…
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
This article proposes a complementary theoretical framework in behavioural finance by interpreting financial markets during boom-and-bust episodes as a Le Bonian crowd. While behavioural finance has documented the limits of individual…
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
Synchronization and resonance on networks are some of the most remarkable collective dynamical phenomena. The network topology, or the nature and distribution of the connections within an ensemble of coupled oscillators, plays a crucial…
Collective motion is found in various animal systems, active suspensions and robotic or virtual agents. This is often understood using high level models that directly encode selected empirical features, such as co-alignment and cohesion.…
We study a general set of models of social network evolution and dynamics. The models consist of both a dynamics on the network and evolution of the network. Links are formed preferentially between 'similar' nodes, where the similarity is…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
This paper is based on the premise that economic growth is driven by an interplay between innovation and imitation in an economy composed of interacting firms operating in a stochastic environment. A novel approach to modeling imitation is…