Related papers: Comparing the collective behavior of banking indus…
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…
Investigating the optimal nature of social interactions among actors (e.g., people or firms), who seek to achieve certain mutually-agreed objectives, has been the subject of extensive academic research. Using the relational models theory…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
People participate and activate in online social networks and thus tremendous amount of network data is generated; data regarding their interactions, interests and activities. Some people search for specific questions through online social…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
In this article we study the behavior of a group of economic agents in the context of cooperative game theory, interacting according to rules based on the Potts Model with suitable modifications. Each agent can be thought of as belonging to…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewhere. The MPM uses XGBoost to learn how to switch between two…
Reciprocity, or the tendency of individuals to mirror behavior, is a key measure that describes information exchange in a social network. Users in social networks tend to engage in different levels of reciprocal behavior. Differences in…
Random graphs are useful tools to study social interactions. In particular, the use of weighted random graphs allows to handle a high level of information concerning which agents interact and in which degree the interactions take place.…
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency…
A spacially extended model of the collective behavior of a large number of locally acting organisms is proposed in which organisms move probabilistically between local cells in space, but with weights dependent on local morphogenetic…
People organize in groups and contagions spread across them. A simple stochastic process, yet complex to model due to dynamical correlations within and between groups. Moreover, groups can evolve if agents join or leave in response to…
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing;…