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The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Representatives of several Internet service providers (ISPs) have expressed their wish to see a substantial change in the pricing policies of the Internet. In particular, they would like to see content providers (CPs) pay for use of the…
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect…
The in-game economies of massively multi-player online games (MMOGs) are complex systems that have to be carefully designed and managed. This paper presents the results of an analysis of auction house data from the MMOG Glitch, across a 14…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
We present the methods employed by team `Uniofbathtopia' as part of the Data Challenge organised for the 13th International Conference on Extreme Value Analysis (EVA2023), including our winning entry for the third sub-challenge. Our…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
The holiday gift exchange game is a familiar social institution with nontrivial strategic structure. We provide a formal treatment of the game's mechanics, defining the state space, action sets, and the recursive structure of stealing…
In this paper, we consider the problem of resource congestion control for competing online learning agents. On the basis of non-cooperative game as the model for the interaction between the agents, and the noisy online mirror ascent as the…
In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited…
Mobility systems often suffer from a high price of anarchy due to the uncontrolled behavior of selfish users. This may result in societal costs that are significantly higher compared to what could be achieved by a centralized system-optimal…
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures constructed from ultra-high-frequency financial data. The…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
This paper explores the application of Sample Entropy (SampEn) as a sophisticated tool for quantifying and predicting volatility in international oil price returns. SampEn, known for its ability to capture underlying patterns and predict…
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…