Related papers: Some Dynamic Market Models
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with…
This research investigates the impact of dynamic, time-varying interactions on cooperative behaviour in social dilemmas. Traditional research has focused on deterministic rules governing pairwise interactions, yet the impact of interaction…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
Financial markets are subject to long periods of polarized behavior, such as bull-market or bear-market phases, in which the vast majority of market participants seem to almost exclusively choose one action (between buying or selling) over…
Distributed decision making in multi-agent networks has recently attracted significant research attention thanks to its wide applicability, e.g. in the management and optimization of computer networks, power systems, robotic teams, sensor…
Social gaming is today a pervasive phenomenon. Driven by the advent of social networks and the digitization of game distribution. In this paper the impact of digitization and so-cial networks such as Facebook on digital games is de-scribed…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…
We analyze the dynamics of competitions with a large number of players. In our model, n players compete against each other and the winner is decided based on the standings: in each competition, the mth ranked player wins. We solve for the…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
The theory of learning in games has extensively studied situations where agents respond dynamically to each other by optimizing a fixed utility function. However, in many settings of interest, agent utility functions themselves vary as a…
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and…
Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…
In this article we review existing literature on dynamic copulas and then propose an n-copula which varies in time and space. Our approach makes use of stochastic differential equations, and gives rise to a dynamic copula which is able to…
Lurking is a complex user-behavioral phenomenon that occurs in all large-scale online communities and social networks. It generally refers to the behavior characterizing users that benefit from the information produced by others in the…
Evolutionary game dynamics describes not only frequency dependent genetical evolution, but also cultural evolution in humans. In this context, successful strategies spread by imitation. It has been shown that the details of strategy update…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…