Related papers: Interplay between endogenous and exogenous fluctua…
We have investigated the origin of fluctuations in the aggregated behaviour of an open-source software community. In a recent series of papers, de Menezes and co-workers have shown how to separate internal dynamics from external…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
Noise plays a fundamental role in a wide variety of physical and biological dynamical systems. It can arise from an external forcing or due to random dynamics internal to the system. It is well established that even weak noise can result in…
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first…
We propose a three-state microscopic opinion formation model for the purpose of simulating the dynamics of financial markets. In order to mimic the heterogeneous composition of the mass of investors in a market, the agent-based model…
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Understanding the relationship between complexity and stability in large dynamical systems -- such as ecosystems -- remains a key open question in complexity theory which has inspired a rich body of work developed over more than fifty…
Most of the conventional models for opinion dynamics mainly account for a fully local influence, where myopic agents decide their actions after they interact with other agents that are adjacent to them. For example, in the case of social…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
We review the close link between intermittent events ('quakes') and extremal noise fluctuations which has been advocated in recent numerical and theoretical work. From the idea that record-breaking noise fluctuations trigger the quakes, an…
A control strategy is employed that modifies the stochastic escape times from one basin of attraction to another in a model of a double-gyre flow. The system studied captures the behavior of a large class of fluid flows that circulate and…