Related papers: Market shape formation, statistical equilibrium an…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
The paper deals with the study of labor market dynamics, and aims to characterize its equilibriums and possible trajectories. The theoretical background is the theory of the segmented labor market. The main idea is that this theory is well…
We consider a simple discrete-time Markov chain with values in $[0,\infty)^{Z^d}$. The Markov chain describes various interesting examples such as oriented percolation, directed polymers in random environment, time discretizations of binary…
The stochastic growth-fragmentation model describes the temporal evolution of a structured cell population through a discrete-time and continuous-state Markov chain. The simulations of this stochastic process and its invariant measure are…
We model evolution according to an asymmetric game as occurring in multiple finite populations, one for each role in the game, and study the effect of subjecting individuals to stochastic strategy mutations. We show that, when these…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
The evolution of the Internet has manifested itself in many ways: the traffic characteristics, the interconnection topologies and the business relationships among the autonomous components. It is important to understand why (and how) this…
As the quantification of metabolism, nonequilibrium steady states play a central role in living matter, but are beyond the purview of equilibrium statistical mechanics. Here we develop a fermionic theory of nonequilibrium steady states in…
This research proposes the econophysics kinetic market model as an evolutionary algorithm's instance. The immediate results from this proposal is a new replacement rule for family competition genetic algorithms. It also represents a…
Unlike equilibrium statistical mechanics, with its well-established foundations, a similar widely-accepted framework for non-equilibrium statistical mechanics (NESM) remains elusive. Here, we review some of the many recent activities on…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of…
Many systems are partially stochastic in nature. We have derived data driven approaches for extracting stochastic state machines (Markov models) directly from observed data. This chapter provides an overview of our approach with numerous…
We discuss stochastic dynamics of populations of individuals playing games. Our models possess two evolutionarily stable strategies: an efficient one, where a population is in a state with the maximal payoff (fitness) and a risk-dominant…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…