Related papers: Selection mechanisms affect volatility in evolving…
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
The maintenance of diversity, the `commonness of rarity', and compositional turnover are ubiquitous features of species-rich communities. Through a minimal model, we consider how these features reflect the interplay between environmental…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
We examine the feasibility of predicting and subsequently managing the future evolution of a Complex Adaptive System. Our archetypal system mimics a competitive population of mechanical, biological, informational or human objects. We show…
Within the framework of population genetics we consider the evolution of an asexual haploid population under the effect of a rapidly varying natural selection (microevolution). We focus on the case in which the environment exerting…
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
We study the evolution of recombination using a microscopic model developed within the frame of the theory of quantitative traits. Two components of fitness are considered: a static one that describes adaptation to environmental factors not…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We use the indirect evolutionary approach to study evolutionarily stable preferences against multiple mutations in single- and multi-population matching settings, respectively. Players choose strategies to maximize their subjective…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
The role of the selection pressure and mutation amplitude on the behavior of a single-species population evolving on a two-dimensional lattice, in a periodically changing environment, is studied both analytically and numerically. The…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
Standard models of population dynamics focus on the the interaction, survival, and extinction of the competing species individually. Real ecological systems, however, are characterized by an abundance of species (or strategies, in the…
The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…
Biodiversity widely observed in ecological systems is attributed to the dynamical balance among the competing species. The time-varying populations of the interacting species are often captured rather well by a set of deterministic…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…