Related papers: Selection mechanisms affect volatility in evolving…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
Evolution occurs in populations of reproducing individuals. The structure of a biological population affects which traits evolve. Understanding evolutionary game dynamics in structured populations is difficult. Precise results have been…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
The interplay between mutation and selection plays a fundamental role in the behaviour of evolutionary algorithms (EAs). However, this interplay is still not completely understood. This paper presents a rigorous runtime analysis of a…
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…
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,…
Ecological selection is a major driver of community assembly. Selection is classified as stabilizing when species with intermediate trait values gain the highest reproductive success, whereas selection is considered directional when fitness…
We show how highly-diverse ecological communities may display persistent abundance fluctuations, when interacting through resource competition and subjected to migration from a species pool. This turns out to be closely related to the ratio…
We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under time series. We find that downside risk is primarily driven…
We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
Species-rich communities, such as the microbiota or microbial ecosystems, provide key functions for human health and climatic resilience. Increasing effort is being dedicated to design experimental protocols for selecting community-level…
We study the roles of social and individual learning on outcomes of the Minority Game model of a financial market. Social learning occurs via agents adopting the strategies of their neighbours within a social network, while individual…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…