Related papers: Emergent organization in a model market
Group behavior has received much attention as a test case of self-organization. There has been much written in recent years to investigate interactions within groups of agents. These agents can be animals moving in an interactive way, such…
Self-organization is frequently observed in active collectives, from ant rafts to molecular motor assemblies. General principles describing self-organization away from equilibrium have been challenging to identify. We offer a unifying…
We study the self-assembly of a complex network of collaborations among self-interested agents. The agents can maintain different levels of cooperation with different partners. Further, they continuously, selectively, and independently…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions…
We present a modeling framework for dynamical and bursty contact networks made of agents in social interaction. We consider agents' behavior at short time scales, in which the contact network is formed by disconnected cliques of different…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
The emergence of cooperation in the groups of interacting agents is one of the most fascinating phenomena observed in many complex systems studied in social science and ecology, even in the situations where one would expect the agent to use…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
We address the problem of how cooperative (altruistic-like) behavior arises in natural and social systems by analyzing an ultimatum game in complex networks. Specifically, three types of players are considered: (a) empathetic, whose…
We apply a physical based model to describe the clothes fashion market. Every time a new outlet appears on the market, it can invade the market under certain specific conditions. Hence, the "old'' outlet can be completely dominated and…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
We study the dynamics of exchange value in a system composed of many interacting agents. The simple model we propose exhibits cooperative emergence and collapse of global value for individual goods. We demonstrate that the demand that…