Related papers: Selection mechanisms affect volatility in evolving…
Institutions and cultures evolve adaptively in response to the current environmental incentives, usually. But sometimes institutional change is due to stochastic drives beyond current fitness, including drift, path dependency, blind…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
Competition between species and genotypes is a dominant factor in a variety of ecological and evolutionary processes. Biological dynamics are typically highly stochastic, and therefore, analyzing a competitive system requires accounting for…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
Evolution occurs in populations of reproducing individuals. It is well known that population structure can affect evolutionary dynamics. Traditionally, natural selection is studied between mutants that differ in reproductive rate, but are…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
In subdivided populations, migration acts together with selection and genetic drift and determines their evolution. Building up on a recently proposed method, which hinges on the emergence of a time scale separation between local and global…
The environment in which a population evolves can have a crucial impact on selection. We study evolutionary dynamics in finite populations of fixed size in a changing environment. The population dynamics are driven by birth and death…
With a view to connecting random mutation on the molecular level to punctuated equilibrium behavior on the phenotype level, we propose a new model for biological evolution, which incorporates random mutation and natural selection. In this…
In evolutionary processes, population structure has a substantial effect on natural selection. Here, we analyze how motion of individuals affects constant selection in structured populations. Motion is relevant because it leads to changes…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
It has become the default in markets such as ad auctions for participants to bid in an auction through automated bidding agents (autobidders) which adjust bids over time to satisfy return-over-spend constraints. Despite the prominence of…
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…
Different agents need to make a prediction. They observe identical data, but have different models: they predict using different explanatory variables. We study which agent believes they have the best predictive ability -- as measured by…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
Risk aversion is a common behavior universal to humans and animals alike. Economists have traditionally defined risk preferences by the curvature of the utility function. Psychologists and behavioral economists also make use of concepts…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…