Related papers: Dynamic Coupling and Market Instability
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We analyze the stabilization of unstable steady states by delayed feedback control with a periodic time-varying delay in the regime of a high-frequency modulation of the delay. The average effect of the delayed feedback term in the control…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
We consider control strategies for large-scale interacting agent systems under uncertainty. The particular focus is on the design of robust controls that allow to bound the variance of the controlled system over time. To this end we…
This letter concerns the reliability of coupled oscillator networks in response to fluctuating inputs. Reliability means that (following a transient) an input elicits identical responses upon repeated presentations, regardless of the…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
Demand response (DR) programs play a crucial role in improving system reliability and mitigating price volatility by altering the core profile of electricity consumption. This paper proposes a game-theoretical model that captures the…
We considered the phase coherence dynamics in a Two-Frequency and Two-Coupling (TFTC) model of coupled oscillators, where coupling strength and natural oscillator frequencies for individual oscillators may assume one of two values…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
We analyze stability of a system which contains an harmonic oscillator non-linearly coupled to its second harmonic, in the presence of a driving force. It is found that there always exists a critical amplitude of the driving force above…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…