Related papers: Information-Theoretic Approach to Financial Market…

In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…

Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…

The predictability of a time series is determined by the sensitivity to initial conditions of its data generating process. In this paper our goal is to characterize this sensitivity from a finite sample by assuming few hypotheses on the…

The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets…

A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…

In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…

The integrated information theory is thought to be a key clue towards the theoretical understanding of consciousness. In this study, we propose a simple numerical model comprising a set of coupled double quantum dots, where the…

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…

A three-state model based on the Potts model is proposed to simulate financial markets. The three states are assigned to "buy", "sell" and "inactive" states. The model shows the main stylized facts observed in the financial market:…

This paper provides an elementary, self-contained analysis of diffusion-based sampling methods for generative modeling. In contrast to existing approaches that rely on continuous-time processes and then discretize, our treatment works…

We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

Formalising the confrontation of opinions (models) to observations (data) is the task of Inferential Statistics. Information Theory provides us with a basic functional, the relative entropy (or Kullback-Leibler divergence), an asymmetrical…

Understanding the pattern formation in communities has been at the center of attention in various fields. Here we introduce a novel model, called an "information-particle model," which is based on the reaction-diffusion model and the…

Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…

Meta-analytic methods tend to take all-or-nothing approaches to study-level heterogeneity, assuming all studies are heterogeneous or homogeneous, leading to inefficiency and/or bias in estimation and inference. In this paper, we develop a…

We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…

Statistical inference is considered for variables of interest, called primary variables, when auxiliary variables are observed along with the primary variables. We consider the setting of incomplete data analysis, where some primary…

The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…