Related papers: Conditional dynamics driving financial markets
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We study the evolution of preferences in multi-population settings that allow matches across distinct populations. Each individual has subjective preferences over potential outcomes, and chooses a best response based on his preferences and…
Macroevolution is considered as a problem of stochastic dynamics in a system with many competing agents. Evolutionary events (speciations and extinctions) are triggered by fitness records found by random exploration of the agents' fitness…
The existing theorization of development economics and transition economics is probably inadequate and perhaps even flawed to accurately explain and analyze a dual economic system such as that in China. China is a country in the transition…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
This paper presents a general theory that aims at explaining timescales observed empirically in technology transitions and predicting those of future transitions. This framework is used further to derive a theory for exploring the dynamics…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…
We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and…
From some observations on economic behaviors, in particular changing economic conditions with time and space, we develop a very simple model for the evolution of economic entities within a geographical type of framework. We raise a few…
We introduce a new formulation of asset trading games in continuous time in the framework of the game-theoretic probability established by Shafer and Vovk (Probability and Finance: It's Only a Game! (2001) Wiley). In our formulation, the…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…
Collective actions, from city marathons to labor strikes, are often mass-driven and subject to the snowball effect. Motivated by this, we study evolutionary advantages of conditional punishment in the spatial public goods game. Unlike…
The well-defined but intricate course of time evolution exhibited by many naturally occurring phenomena suggests some source of dynamic order sustaining it. In spite of its obviousness as a problem, it has remained absent from the…
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…