Related papers: Opinion Dynamics in Financial Markets via Random N…
The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models.The…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
The dynamics of opinion formation in large groups of people is a complex non-linear phenomenon whose investigation is just at the beginning. Both collective behaviour and personal view play an important role in this mechanism. In the…
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock price dynamics and vice versa. An investor…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
The heterogeneity of the influence processes is an important feature of social systems: how we perceive social influence and how we influence other individuals is heavily influenced by our opinion and non-opinion attributes. The latter…
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores…
Financial markets are subject to long periods of polarized behavior, such as bull-market or bear-market phases, in which the vast majority of market participants seem to almost exclusively choose one action (between buying or selling) over…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Most of the conventional models for opinion dynamics mainly account for a fully local influence, where myopic agents decide their actions after they interact with other agents that are adjacent to them. For example, in the case of social…
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
We define an opinion formation model of agents in a 1d ring, where the opinion of an agent evolves due to its interactions with close neighbors and due to its either positive or negative attitude toward the overall mood of all the other…
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to…
We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behaviour of the market when new information affecting the market…
In this work we study the opinion evolution in a community-based population with intergroup interactions. We address two issues. First, we consider that such intergroup interactions can be negative with some probability $p$. We develop a…
In this era of fast and large-scale opinion formation, a mathematical understanding of opinion evolution, a.k.a. opinion dynamics, is especially important. Linear graph-based dynamics and bounded confidence dynamics are the two most popular…
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…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…