Related papers: Stochastic Cellular Automata Model for Stock Marke…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
The problem of competitive nucleation in the framework of Probabilistic Cellular Automata is studied from the dynamical point of view. The dependence of the metastability scenario on the self--interaction is discussed. An intermediate…
A recently introduced cellular automaton model for the description of traffic flow is investigated. It generalises asymmetric exclusion models which have attracted a lot of interest in the past. We calculate the so-called fundamental…
We show techniques of analyzing complex dynamics of cellular automata (CA) with chaotic behaviour. CA are well known computational substrates for studying emergent collective behaviour, complexity, randomness and interaction between order…
In an illiquid stock, traders can collude and place orders on a predetermined price and quantity at a fixed schedule. This is usually done to manipulate the price of the stock or to create artificial liquidity in the stock, which may…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
We study time continuous branching processes with exponentially distributed lifetimes, with two types of cells that proliferate according to binary fission. A range of possible system dynamics are considered, each of which is characterized…
Using Pade approximations and Monte Carlo simulations, we study the phase diagram of the Two-Neighbor Stochastic Cellular Automata, which have two parameters $p_{1}$ and $p_{2}$ and include the mixed site-bond directed percolation (DP) as a…
We introduce a stochastic cellular automaton as a model for culture and border formation. The model can be conceptualized as a game where the expansion rate of cultures is quantified in terms of their area and perimeter in such a way that…
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
The transport and chemical reactions of solutes are modelled as a cellular automaton in which molecules of different species perform a random walk on a regular lattice and react according to a local probabilistic rule. The model describes…
Coupling is a widely used technique in the theoretical study of interacting stochastic processes. In this paper I present an example demonstrating its usefulness also in the efficient computer simulation of such processes. I first describe…
We rigorously prove a form of disorder-resistance for a class of one-dimensional cellular automaton rules, including some that arise as boundary dynamics of two-dimensional solidification rules. Specifically, when started from a random…
We say that a Cellular Automata (CA) is coalescing when its execution on two distinct (random) initial configurations in the same asynchronous mode (the same cells are updated in each configuration at each time step) makes both…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
We investigate a cellular automaton (CA) model of traffic on a bi-directional two-lane road. Our model is an extension of the one-lane CA model of {Nagel and Schreckenberg 1992}, modified to account for interactions mediated by passing, and…
Cellular traffic prediction is of great importance for operators to manage network resources and make decisions. Traffic is highly dynamic and influenced by many exogenous factors, which would lead to the degradation of traffic prediction…
In this paper, a novel cluster-based approach for optimizing the energy efficiency of wireless small cell networks is proposed. A dynamic mechanism based on the spectral clustering technique is proposed to dynamically form clusters of small…