Related papers: Stochastic Multiplicative Processes for Financial …
We present a stochastic volatility market model where volatility is correlated with return and is represented by an Ornstein-Uhlenbeck process. With this model we exactly measure the leverage effect and other stylized facts, such as mean…
We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
We consider a previously devised model describing Levy random walks (Phys. Rev E 79, 011110; 80, 031148, (2009)). It is demonstrated numerically that the given model describes Levy random walks with superdiffusive, ballistic, as well as…
Analytical and numerical studies on many-body stochastic processes with multiplicative interactions are reviewed. The method of moment relations is used to investigate effects of asymmetry and randomness in interactions. Probability…
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the…
Reproductive success and survival are influenced by wealth in human populations. Wealth is transmitted to offsprings and strategies of transmission vary over time and among populations, the main variation being how equally wealth is…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
In this paper we show similarities between turbulence and financial systems. Motivated by similarities between the two systems, we construct a multiscale model for hierarchical financial structures that exhibits a constant cascade of wealth…
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
The methodology based on the random walk processes is adapted and applied to a comprehensive analysis of the statistical properties of the probability fluxes. To this aim we define a simple model of the Markovian stochastic dynamics on a…
A class of stochastic processes strongly related to random sums plays an important role in network and in finance. In this paper we study this kind of stochastic process discuss an overtime unchanged parameter and reveal its asymptotic…