Related papers: Evolutionary Model of Stock Markets
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
The market weight of a stock is its capitalization (cap) divided by the total market cap. Rank these weights from top to bottom. The capital distribution curve is a plot of weights versus ranks. For the US stock market, it is linear on a…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
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…
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…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…
The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We…
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…
We study an evolution cross-diffusion problem with mutualistic Lotka-Volterra reaction term to modelize the long-term spatial distribution of labor and capital. The mutualistic behavior is deduced from the gradient flow associated to…
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…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predictability $K$ for both models with linear…
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…
Characterizing temporal evolution of stock markets is a fundamental and challenging problem. The literature on analyzing the dynamics of the markets has focused so far on macro measures with less predictive power. This paper addresses this…
A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales…