Related papers: Statistical Microeconomics
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the…
Statistical thermodynamics has a universal appeal that extends beyond molecular systems, and yet, as its tools are being transplanted to fields outside physics, the fundamental question, \textit{what is thermodynamics?}, has remained…
The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…
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…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
We propose a dynamical model of price formation on a spatial market where sellers and buyers are placed on the nodes of a graph, and the distribution of the buyers depends on the positions and prices of the sellers. We find that, depending…
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model…
Prediction markets are widely treated as forecasting devices that reveal collective expectations about uncertain futures. This article argues that under specifiable conditions they also function as coordination mechanisms: public…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…