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We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience,…
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
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…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
The bid-ask spread, which is defined by the difference between the best selling price and the best buying price in a Limit Order Book at a given time, is a crucial factor in the analysis of financial securities. In this study, we propose a…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a…