Related papers: Cont-Bouchaud percolation model including Tobin ta…
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments…
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both…
The herd behavior of the Cont Bouchaud model is amplified by allowing clusters to copy decisions of some other cluster in the next time step. The results of the model are compared to data from Warsaw Stock Exchange. It follows that the…
Existing emissions trading system (ETS) designs inhibit emissions but do not constrain warming to any fxed level, preventing certainty of the global path of warming. Instead, they have the indirect objective of reducing emissions. They…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
We refer to an individual holding a non-negligible fraction of the country's total wealth as an oligarch. We explain how a model due to Boghosian et al. can be used to explore the effects of taxation on the emergence of oligarchs. The model…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
Income inequality and redistribution policies are modeled with a minimal, endogenous model of a simple foraging economy. Significant income inequalities emerge from the model for populations of equally capable individuals presented with…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity equation of exchange. A dynamical quantity…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
Rules, regulations, and policies are the basis of civilized society and are used to coordinate the activities of individuals who have a variety of goals and purposes. History has taught that over-regulation (too many rules) makes it…
Almost all countries in the world require banks to report suspicious transactions to national authorities. The reports are known as suspicious transaction or activity reports (we use the former term) and are intended to help authorities…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
This paper presents an agent based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realised return over recent trades. The…
The regulatory framework of cryptocurrencies (and, in general, blockchain tokens) is of paramount importance. This framework drives nearly all key decisions in the respective business areas. In this work, a computational model is proposed…