Related papers: Excess Demand Financial Market Model
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
Examples of joint probability distributions are studied in terms of Tsallis' nonextensive statistics both for correlated and uncorrelated variables, in particular it is explicitely shown how correlations in the system can make Tsallis…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
We investigate the limiting cases of Tsallis statistics. The viewpoint adopted is not the standard information-theoretic one, where one derives the distribution from a given measure of information. Instead the mechanical approach recently…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
We study the one-dimensional Ising model with long-range interactions in the context of Tsallis non-extensive statistics by computing numerically the number of states with a given energy. We find that the internal energy, magnetization,…
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an…
We propose a new way of defining entropy of a system, which gives a general form which may be nonextensive as Tsallis entropy, but is linearly dependent on component entropies, like Renyi entropy, which is extensive. This entropy has a…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
We provide closed-form market equilibrium formula consolidating informational imperfections and investors beliefs. Based on Merton's model, we characterize the equilibrium expected excess returns vector with incomplete information. We then…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…
In the present work, we have found that the phenomenological Tsallis distribution (which nowadays is largely used to describe the transverse momentum distributions of hadrons measured in $pp$ collisions at high energies) is consistent with…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM). More specifically, we extend the…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
We consider the problem of guessing the realization of a random variable but under more general Tsallis' non-extensive entropic framework rather than the classical Maxwell-Boltzman-Gibbs-Shannon framework. We consider both the conditional…