Related papers: Selection mechanisms affect volatility in evolving…
Natural selection acts on traits at different scales, often with opposing consequences. This article identifies the particular forces that act at each scale and how those forces combine to determine the overall evolutionary outcome. A…
Collective, especially group-based, managerial decision making is crucial in organizations. Using an evolutionary theoretic approach to collective decision making, agent-based simulations were conducted to investigate how human collective…
In classical evolutionary theory, genetic variation provides the source of heritable phenotypic variation on which natural selection acts. Against this classical view, several theories have emphasized that developmental variability and…
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
Strategies aimed at reducing the negative effects of long-term uncertainty and risk are common in biology, game theory, and finance, even if they entail a cost in terms of mean benefit. Here, we focus on the single mutant's invasion of a…
Decision-making societies may vary in their level of cooperation and degree of conservatism, both of which influence their overall performance. Moreover, these factors are not fixed -- they can change based on the decisions agents in the…
Environmental stochasticity is known to be a destabilizing factor, increasing abundance fluctuations and extinction rates of populations. However, the stability of a community may benefit from the differential response of species to…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
Evolution is a dynamic process. The two classical forces of evolution are mutation and selection. Assuming small mutation rates, evolution can be predicted based solely on the fitness differences between phenotypes. Predicting an…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
We continue our study of evolution in minority games by examining games in which agents with poorly performing strategies can trade in their strategies for new ones from a different strategy space. In the context of the games discussed in…