Related papers: Evolutionary Model of Stock Markets
How do cost shocks pass through to prices in markets with price dispersion? We decompose the problem into two layers. In the competition layer, consumers' consideration sets determine equilibrium distributions of normalized margins. In the…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We provide a theoretical framework to understand when firms may benefit from exploiting previously abandoned technologies and brands. We model for the long run process of innovation, allowing for sustainable diversity and comebacks of old…
The evaluation of the financial markets to predict their behaviour have been attempted using a number of approaches, to make smart and profitable investment decisions. Owing to the highly non-linear trends and inter-dependencies, it is…
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible…
We propose a model based on coupled multiplicative stochastic processes to understand the dynamics of competing species in an ecosystem. This process can be conveniently described by a Fokker-Planck equation. We provide an analytical…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
Evolutionary game theory is a framework to formalize the evolution of collectives ("populations") of competing agents that are playing a game and, after every round, update their strategies to maximize individual payoffs. There are two…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
An alternate Lagrangian scheme at discrete times is proposed for the approximation of a nonlinear continuity equation arising as a mean-field limit of spatially inhomogeneous evolutionary games, describing the evolution of a system of…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the returns and consequently a lognormal distribution of asset…
Many socio-economic and biological processes can be modeled as systems of interacting individuals. The behaviour of such systems can be often described within game-theoretic models. In these lecture notes, we introduce fundamental concepts…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
Existing theoretical models of evolution focus on the relative fitness advantages of different mutants in a population while the dynamic behavior of the population size is mostly left unconsidered. We here present a generic stochastic model…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We propose a new model for the time evolution of livestock commodities which exhibits endogenous deterministic stochastic behaviour. The model is based on the Yoccoz-Birkeland integral equation, a model first developed for studying the…