Related papers: Market Dynamics of Information Avalanches
We show that rain events are analogous to a variety of nonequilibrium relaxation processes in Nature such as earthquakes and avalanches. Analysis of high-resolution rain data reveals that power laws describe the number of rain events versus…
We study the two-dimensional Abelian Sandpile Model on a square lattice of linear size L. We introduce the notion of avalanche's fine structure and compare the behavior of avalanches and waves of toppling. We show that according to the…
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…
In three-dimensional turbulence, information of turbulent fluctuations at large scales is propagated to small scales. Here, we investigate the relation between the information flow and turbulent fluctuations described by a shell model. We…
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
In a sandpile model addition of a hole is defined as the removal of a grain from the sandpile. We show that hole avalanches can be defined very similar to particle avalanches. A combined particle-hole sandpile model is then defined where…
We explore the connection between self-organized criticality and phase transitions in models with absorbing states. Sandpile models are found to exhibit criticality only when a pair of relevant parameters - dissipation epsilon and driving…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets.…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Why do capitalist economies recurrently generate crises whose severity is disproportionate to the size of the triggering shock? This paper proposes a structural answer grounded in the evolutionary geometry of production networks. As…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on…
Aging in complex systems is studied via the sandpile model. Relaxation of avalanches in sandpiles is observed to depend on the time elapsed since the begining of the relaxation. Levy behavior is observed in the distribution of…
We show that deterministic systems with strong nonlinearities seem to be more appropriate to model sandpiles than stochastic systems or deterministic systems in which discontinuities are the only nonlinearity. In particular, we are able to…