Related papers: A Statistical Field Perspective on Capital Allocat…

This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…

Firm clusters are seen as having a positive effect on innovations, what can be interpreted as economies of scale or knowledge spillovers. The processes underlying the success of these clusters remain difficult to isolate. We propose in this…

This series of papers models the dynamics of a large set of interacting neurons within the framework of statistical field theory. The system is described using a two-field model. The first field represents the neuronal activity, while the…

Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…

The hierarchical topology is a common property of many complex systems. Here we introduce a simple but generic model of hierarchy growth from the bottom to the top. Therein, two dynamical processes are accounted for: agent's promotions to…

There are rich emergent phase behaviors in non-equilibrium active systems. Flocking and clustering are two representative dynamic phases. The relationship between these two phases is still unclear. In the paper, we numerically investigate…

We propose a model of collective behavior in self-propelled active agents that incorporates a perceptual decision-making process. In this framework, the decision-making dynamics is modeled using quantum formalism. The perceptual decision…

Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method…

From some observations on economic behaviors, in particular changing economic conditions with time and space, we develop a very simple model for the evolution of economic entities within a geographical type of framework. We raise a few…

Universality in the behavior of complex systems often reveals itself in the form of scale-invariant distributions that are essentially independent of the details of the microscopic dynamics. A representative paradigm of complex behavior in…

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…

We investigate large-scale effects induced by external fields, phenomenologically interpreted as mass media, in multiagent models evolving with the microscopic dynamics of the binary naming game. In particular, we show that a single…

We analyse a generalisation of the Galam model of binary opinion dynamics in which iterative discussions take place in local groups of individuals and study the effects of random deviations from the group majority. The probability of a…

Economists, historians, and social scientists have long debated how open-access areas, frontier regions, and customary landholding regimes came to be enclosed or otherwise transformed into private property. This paper analyzes decentralized…

This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe comprising seven long-only indices representing the market and…

Social trends or fashions are spontaneous collective decisions made by large portions of a community, often without an apparent good reason. The spontaneous formation of trends provides a well documented mechanism for the spread of…

Understanding how individual agents make strategic decisions within collectives is important for advancing fields as diverse as economics, neuroscience, and multi-agent systems. Two complementary approaches can be integrated to this end.…

We analyze inequality aspects of the agent-based model of capitalist economy named it Social Architecture of Capitalism that has been introduced by Ian Wright. The model contemplates two main types of agents, workers and capitalists, which…

We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…

We introduce and solve a model that mimics the herding effect in financial markets when groups of agents share information. The number of agents in the model is growing and at each time step either (i) with probability $p$ an incoming agent…