Related papers: Regulation effects on market with Bak-Sneppen mode…
Adapting a simple biological model, we study the effects of control on the market. Companies are depicted as sites on a lattice and labelled by a fitness parameter (some `company-size' indicator). The chance of survival of a company on the…
In the present work we extend the Bak-Sneppen model for biological evolution by introducing local interactions between species. This ``environmental'' perturbation can modify the intrinsic fitness of each element of the ecology, leading to…
Self-Organized Criticality (SOC) phenomena could have a significant effect on the dynamics of ecosystems. The Bak-Sneppen (BS) model is a simple and robust model of biological evolution that exhibits punctuated equilibrium behavior. Here we…
The spin market model [S. Bornholdt, Int.J.Mod.Phys. C 12 (2001) 667] is extended into co-evolutionary version, where strategies of interacting and competitive traders are represented by local and global couplings between the nodes of…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
Recent technological developments have changed the fundamental ways stock markets function, bringing regulatory instances to assess the benefits of these developments. In parallel, the ongoing machine learning revolution and its multiple…
We study here the Bak and Sneppen model, a prototype model for the study of Self-Organized Criticality. In this model several species interact and undergo extinction with a power law distribution of activity bursts. Species are defined…
We analyze the structure of the market for foundation models, i.e., large AI models such as those that power ChatGPT and that are adaptable to downstream uses, and we examine the implications for competition policy and regulation. We…
A model for economic behavior, under heterogeneous spatial economic conditions is developed. The role of selection pressure in a Bak-Sneppen-like dynamics with entity diffusion on a lattice is studied by Monte-Carlo simulation taking into…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
Regulatory functions are essential in both socioeconomic and biological systems, from corporate managers to regulatory genes. Regulatory functions come with substantial costs and benefits, and the balance of the two is often taken for…
The Bak--Sneppen model is a simple stochastic model of evolution that exhibits self-organized criticality and for which few analytical results have been established. In the original Bak-Sneppen model and many subsequent variants,…
Mapping the economy to the some statistical physics models we get strong indications that, in contrary to the pure stock market, the stock market with derivatives could not self-regulate.
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
We implement the damage spreading technique on 2-dimensional isotropic and anisotropic Bak-Sneppen models. Our extensive numerical simulations show that there exists a power-law sensitivity to the initial conditions at the statistically…
In this work we study the effects of introducing long range interactions in the Bak-Sneppen (BS) model of biological evolution. We analyze a recebtly propopsed version of the BS model where the interactions decay as r^{-alpha}; in this way…
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…