Related papers: Disentangling and quantifying market participant v…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…
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…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
This paper develops a theoretical mesoscopic model of the limit order book driven by multivariate Hawkes processes, designed to capture temporal self-excitation and the spatial propagation of order flow across price levels. In contrast to…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
In the highly complex and stochastic global, supply chain environments, local enterprise agents seek distributed and dynamic strategies for agile responses to disruptions. Existing literature explores both centralized and distributed…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
In this paper, we analyze the behavior of a multi-agent system driven by the interactions of agents within a competitive environment. To achieve this, we describe the transition probabilities that underlie the system's stochastic nature. We…
The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…
Most real world collectives, including active particles, living cells, and grains, are heterogeneous, where individuals with differing properties interact. The differences among individuals in their intrinsic properties have emergent…