Related papers: Evolutionary Model of Stock Markets
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…
Applying the concepts and formalisms from Evolutionary Game Theory to the data regime, the fundamental paradigms of Evolutionary Data Theory are introduced. Interpreting data in matrix form as evolutionary entities, input data is mapped to…
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Predicting future direction of stock markets using the historical data has been a fundamental component in financial forecasting. This historical data contains the information of a stock in each specific time span, such as the opening,…
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is…
We study a variant of the Cont-Bouchaud model which utilizes the perco lation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand…
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and…
A model for economic behavior, under heterogeneous spatial economic conditions is developed. The role of selection pressure in a Bak-Sneppen-like dynamics with entity diffusion on a lattice is studied by Monte-Carlo simulation taking into…
The exchange-driven growth model describes a process in which pairs of clusters interact through the exchange of single monomers. The rate of exchange is given by an interaction kernel $K$ which depends on the size of the two interacting…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis…
This paper proposes a governing equation for stock market indexes that accounts for non-stationary effects. This is a linear Fokker-Planck equation (FPE) that describes the time evolution of the probability distribution function (PDF) of…
Evolutionary game dynamics is one of the most fruitful frameworks for studying evolution in different disciplines, from Biology to Economics. Within this context, the approach of choice for many researchers is the so-called replicator…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
We study learning dynamics in distributed production economies such as blockchain mining, peer-to-peer file sharing and crowdsourcing. These economies can be modelled as multi-product Cournot competitions or all-pay auctions (Tullock…
Mathematical theory of selection is developed within the frameworks of general models of inhomogeneous populations with continuous time. Methods that allow us to study the distribution dynamics under natural selection and to construct…
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of…
Changes (returns) in stock index prices and exchange rates for currencies are argued, based on empirical data, to obey a stable distribution with characteristic exponent $ \alpha < 2 $ for short sampling intervals and a Gaussian…
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…