Related papers: Market structure explained by pairwise interaction…
We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial data. Market structure is measured by…
Pairwise models like the Ising model or the generalized Potts model have found many successful applications in fields like physics, biology, and economics. Closely connected is the problem of inverse statistical mechanics, where the goal is…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
Several types of biological networks have recently been shown to be accurately described by a maximum entropy model with pairwise interactions, also known as the Ising model. Here we present an approach for finding the optimal mappings…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
Graph based entropy, an index of the diversity of events in their distribution to parts of a co-occurrence graph, is proposed for detecting signs of structural changes in the data that are informative in explaining latent dynamics of…
Hypergraphs, encoding structured interactions among any number of system units, have recently proven a successful tool to describe many real-world biological and social networks. Here we propose a framework based on statistical inference to…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation,…
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
We develop a sparse autologistic model for investigating the impact of diversification and disintermediation strategies in the evolution of financial trading networks. In order to induce sparsity in the model estimates and address…
Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a…
Simple nonlinear dynamical systems with multiple stable stationary states are often taken as models for switchlike biological systems. This paper considers the interaction of multiple such simple multistable systems when they are embedded…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
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…