Related papers: Selection mechanisms affect volatility in evolving…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
Modern developments in population dynamics emphasize the role of the turnover of individuals. In the new approaches stable population size is a dynamic equilibrium between different mortality and fecundity factors instead of an arbitrary…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
We discuss stochastic dynamics of populations of individuals playing games. Our models possess two evolutionarily stable strategies: an efficient one, where a population is in a state with the maximal payoff (fitness) and a risk-dominant…
We study the role of active and passive investors in an investment market with uncertainties. Active investors concentrate on a single or a few stocks with a given probability of determining the quality of them. Passive investors spread…
In an adaptive population which models financial markets and distributed control, we consider how the dynamics depends on the diversity of the agents' initial preferences of strategies. When the diversity decreases, more agents tend to…
Many studies have analyzed how variability in reproductive success affects fitness. However, each study tends to focus on a particular problem, leaving unclear the overall structure of variability in populations. This fractured conceptual…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
We report on new stability conditions for evolutionary dynamics in the context of population games. We adhere to the prevailing framework consisting of many agents, grouped into populations, that interact noncooperatively by selecting…
We discuss the feasibility of predicting, managing and subsequently manipulating, the future evolution of a Complex Adaptive System. Our archetypal system mimics a population of adaptive, interacting objects, such as those arising in the…
In a co-evolutionary context, the survive probability of individual elements of a system depends on their relation with their neighbors. The natural selection process depends on the whole population, which is determined by local events…
The concept of fitness as a measure for a species's success in natural selection is central to the theory of evolution. We here investigate how reproduction rates which are not constant but vary in response to environmental fluctuations,…
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
We propose a mathematical framework for natural selection in finite populations. Traditionally, many of the selection-based processes used to describe cultural and genetic evolution (such as imitation and birth-death models) have been…
In evolutionary algorithms, the fitness of a population increases with time by mutating and recombining individuals and by a biased selection of more fit individuals. The right selection pressure is critical in ensuring sufficient…
In the evolutionary minority game, agents are allowed to evolve their strategies (``mutate'') based on past experience. We explore the dependence of the system's global behavior on the response time and the mutation threshold of the agents.…