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Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Coalition forming is investigated among countries, which are coupled with short range interactions, under the influence of external fields produced by the existence of global alliances. The model rests on the natural model of coalition…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
We investigate the financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize the individuals in a financial market by their trading strategy, namely noise traders and…
Growing network models can potentially be a useful tool in the development of economic theory. This work introduces an "opportunistic attachment" mechanism where incoming nodes, in deciding where to join a network, consider features of the…
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition,…
Multi-agent models are a suitable starting point to model complex social interactions. However, as the complexity of the systems increase, we argue that novel modeling approaches are needed that can deal with inter-dependencies at different…
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…
We define a general class of models representing natural selection between two alleles. The population size and spatial structure are arbitrary, but fixed. Genetics can be haploid, diploid, or otherwise; reproduction can be asexual or…
We investigate the dynamics of growth models in terms of dynamical system theory. We analyse some forms of knowledge and its influence on economic growth. We assume that the rate of change of knowledge depends on both the rate of change of…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
We propose a stochastic dynamic model of migration and economic aggregation in a system of employed (immobile) and unemployed (mobile) agents which respond to local wage gradients. Dependent on the local economic situation, described by a…
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in…
An essential task of groups is to provide efficient solutions for the complex problems they face. Indeed, considerable efforts have been devoted to the question of collective decision-making related to problems involving a single dominant…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…