Related papers: The Merchandising Mathematician Model
We characterise the set of dominant strategy incentive compatible (DSIC), strongly budget balanced (SBB), and ex-post individually rational (IR) mechanisms for the multi-unit bilateral trade setting. In such a setting there is a single…
This study applies complexity sciences to analyze the game of Padel. Data from 18 professional matches were collected, and the probability distributions of the total number of shots and the probability distribution of rallies' duration were…
We consider a market where a seller sells multiple units of a commodity in a social network. Each node/buyer in the social network can only directly communicate with her neighbours, i.e. the seller can only sell the commodity to her…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…
New continuous and stochastic extensions of the minority game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
In this work we approach cell migration under a large-scale assumption, so that the system reduces to a particle in motion. Unlike classical particle models, the cell displacement results from its internal activity: the cell velocity is a…
This working paper presents a comprehensive study on the development and analysis of various electricity market models, focusing on continuous, discrete, and fractional-order approaches. The continuous model captures the ongoing…
We propose a dynamical model of price formation on a spatial market where sellers and buyers are placed on the nodes of a graph, and the distribution of the buyers depends on the positions and prices of the sellers. We find that, depending…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
This paper is a first step to chase the ambitious objective of developing a mathmatical theory of living systems. The contents refer modeling large systems of interacting living entities with the aim of describing their collective behaviors…
This book consists of a selection of articles divided into three main themes: Statistics, Quantitative Trading, Psychology. These three arguments are indispensable for the development of a quantitative trading system. The order of the…
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link…
Mathematical modelling and numerical simulations of interaction populations are crucial topics in systems biology. The interactions of ecological models may occur among individuals of the same species or individuals of different species.…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
We introduce and analyze a variation of the Bertrand game in which the revenue is shared between two players. This game models situations in which one economic agent can provide goods/services to consumers either directly or through an…
Mergers and Acquisitions represent important forms of business deals, both because of the volumes involved in the transactions and because of the role of the innovation activity of companies. Nevertheless, Economic Complexity methods have…