Related papers: Selection mechanisms affect volatility in evolving…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
The population structure often impacts evolutionary dynamics. In constant-selection evolutionary dynamics between two types, amplifiers of selection are networks that promote the fitter mutant to take over the entire population, and…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
Sexual selection theory models evolution of sexual signals and preferences using simple life histories. However, life-history models predict that males benefit from increasing sexual investment approaching old age, producing age-dependent…
Molecular phenotypes are important links between genomic information and organismic functions, fitness, and evolution. Complex phenotypes, which are also called quantitative traits, often depend on multiple genomic loci. Their evolution…
Competition for available resources is natural amongst coexisting species, and the fittest contenders dominate over the rest in evolution. The dynamics of this selection is studied using a simple linear model. It has similarities to…
Mutations in a microbial population can increase the frequency of a genotype not only by increasing its exponential growth rate, but also by decreasing its lag time or adjusting the yield (resource efficiency). The contribution of multiple…
Frequency-dependent selection reflects the interaction between different species as they battle for limited resources in their environment. In a stochastic evolutionary game the species relative fitnesses guides the evolutionary dynamics…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
The evolutionary balance between innate and learned behaviors is highly intricate, and different organisms have found different solutions to this problem. We hypothesize that the emergence and exact form of learning behaviors is naturally…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…
Understanding the evolution of human social systems requires flexible formalisms for the emergence of institutions. Although game theory is normally used to model interactions individually, larger spaces of games can be helpful for modeling…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…