Related papers: Modeling financial transactions via random walks o…
We investigate the dynamic relaxation of random walks on temporal networks by focusing in the recently proposed activity driven model [Perra \textit{et al.} Sci. Rep. srep00469 (2012)]. For realistic activity distributions with a power-law…
This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Volatility clustering is a common phenomenon in financial time series. Typically, linear models can be used to describe the temporal autocorrelation of the (logarithmic) variance of returns. Considering the difficulty in estimating this…
We study the properties of discrete-time random walks on networks formed by randomly interconnected cliques, namely, random networks of cliques. Our purpose is to derive the parameters that define the network structure -- specifically, the…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price…
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty,…
We discuss a model accounting for the creation and development of transport networks based on the Cameo principle which refers to the idea of distribution of resources, including land, water, minerals, fuel and wealth. We also give an…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
In this paper, we present an overview of different types of random walk strategies with local and non-local transitions on undirected connected networks. We present a general approach to analyzing these strategies by defining the dynamics…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
We have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time…
We consider random walks on dynamical networks where edges appear and disappear during finite time intervals. The process is grounded on three independent stochastic processes determining the walker's waiting-time, the up-time and down-time…
As the largest public blockchain-based platform supporting smart contracts, Ethereum has accumulated a large number of user transaction records since its debut in 2014. Analysis of Ethereum transaction records, however, is still relatively…
We used the random walk to model the problem of reserves. The classic case of a stochastic process is the example of random walks, which are used to study a set of phenomena and, particularly, as in this article, models of reserves…
Transactional network data can be thought of as a list of one-to-many communications(e.g., email) between nodes in a social network. Most social network models convert this type of data into binary relations between pairs of nodes. We…