Related papers: Emergence of Statistical Financial Factors by a Di…
This paper investigates a model of opinion formation on an adaptive social network, consisting of a system of coupled ordinary differential equations for individuals' opinions and corresponding network edge weights. A key driver of the…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
Factor modeling is a powerful statistical technique that permits to capture the common dynamics in a large panel of data with a few latent variables, or factors, thus alleviating the curse of dimensionality. Despite its popularity and…
The behavior of complex systems is determined not only by the topological organization of their interconnections but also by the dynamical processes taking place among their constituents. A faithful modeling of the dynamics is essential…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
Mechanisms of pattern formation---of which the Turing instability is an archetype---constitute an important class of dynamical processes occurring in biological, ecological and chemical systems. Recently, it has been shown that the Turing…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. This paper investigates an alternative explanation by…
When individuals interact in groups, the evolution of cooperation is traditionally modeled using the framework of public goods games. These models often assume that the return of the public good depends linearly on the fraction of…
In this paper, we define probabilistic measures for venture portfolio performance based on individual outlier probability for each investment and the dependence across investments. This work is inspired by loan portfolio modeling against…
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
A set of independence statements may define the independence structure of interest in a family of joint probability distributions. This structure is often captured by a graph that consists of nodes representing the random variables and of…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
Social interactions determine many economic behaviors, but information on social ties does not exist in most publicly available and widely used datasets. We present results on the identification of social networks from observational panel…
Related to an idea of Lewin, a mathematical model for behavioral changes under the influence of a social field is developed. The social field reflects public opinion, social norms and trends. It is not only given by external factors (the…
Scale independence is a ubiquitous feature of complex systems which implies a highly skewed distribution of resources with no characteristic scale. Research has long focused on why systems as varied as protein networks, evolution and stock…