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Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
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…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
We study a minimal model for the growth of a phenotypically heterogeneous population of cells subject to a fluctuating environment in which they can replicate (by exploiting available resources) and modify their phenotype within a given…
We propose a dynamical model for group formation and switching behavior in systems where each group competes for members through attraction functions that are inversely proportional to their current sizes. This attraction is modulated by…
Predicting fitness of biologically-active populations, communities or systems in fluctuating environments is a long-standing challenge. Phenotypic plasticity and bet-hedging strategy, two key evolutionary traits living systems harness to…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…
We report on a series of experiments in which we study the coevolutionary "arms-race" dynamics among groups of agents that engage in adaptive automated trading in an accurate model of contemporary financial markets. At any one time, every…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…
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…
In order to investigate the evolutionary process of many deterministic Dynamical systems with unfixed parameter, a set of dynamical models with parameter changing continuously and the accumulation of this change might be large is introduced…
Ecological trade-offs between species are often invoked to explain species coexistence in ecological communities. However, few mathematical models have been proposed for which coexistence conditions can be characterized explicitly in terms…
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For…
Elasto-plastic models are among the most successful ways to study the critical properties of the plastic yielding transition of amorphous solids. Typically these models are studied under a condition of constant transition rates from one…
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…
We demonstrate how steepest descent arguments and singularity analysis from analytic combinatorics allow for an accurate description of the behavior of linear numerical schemes -- including the notorious leap-frog scheme -- in presence of…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales…