Related papers: Market Dynamics of Information Avalanches
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…
Solids subject to continuous changes of temperature or mechanical load often exhibit discontinuous avalanche-like responses. For instance, avalanche dynamics have been observed during plastic deformation, fracture, domain switching in…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from traffic flows to financial markets. Self-organized criticality…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
The fundamental equations of various disciplines often seem to share the same basic structure. Natural selection increases information in the same way that Bayesian updating increases information. Thermodynamics and the forms of common…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
An avalanche or cascade occurs when one event causes one or more subsequent events, which in turn may cause further events in a chain reaction. Avalanching dynamics are studied in many disciplines, with a recent focus on average avalanche…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
Recently, the paradigm that the dynamic magnetosphere displays sandpile-type phenomenology has been advanced, in which energy dissipation is by means of avalanches which do not have an intrinsic scale. This may in turn imply that the system…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
Avalanche behavior of gravitationally-forced granular layers on a rough inclined plane are investigated experimentally for different materials and for a variety of grain shapes ranging from spherical beads to highly anisotropic particles…
The two dimensional directed sandpile with dissipation is transformed into a (1+1) dimensional problem with discrete space and continuous `time'. The master equation for the conditional probability that K grains preserve their initial order…
Macroeconomic fluctuations and the narratives that shape them form a mutually reinforcing cycle: public discourse can spur behavioural changes leading to economic shifts, which then result in changes in the stories that propagate. We show…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…