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Social media influencers account for a growing share of marketing worldwide. We demonstrate the existence of a novel form of market failure in this advertising market: influencer cartels, where groups of influencers collude to increase…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
Current models for opinion dynamics typically utilize a Poisson process for speaker selection, making the waiting time between events exponentially distributed. Human interaction tends to be bursty, though, having higher probabilities of…
Along with the energy transition, the energy markets change their organization toward more decentralized and self-organized structures, striving for locally optimal profits. These tendencies may endanger the physical grid stability. One…
We use the cavity method from statistical physics for analyzing the transient and stationary dynamics of a minority game that is played by agents performing market arbitrage. On the level of linear response the method allows to include the…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
Random matrix theory successfully connects the structure of interactions of large ecological communities to their ability to respond to perturbations. One of the most debated aspects of this approach is the missing role of population…
Strongly opinionated minorities can have a dramatic impact on the opinion dynamics of a large population. Two factions of inflexible minorities, polarised into two competing opinions, could lead the entire population to persistent…
In this paper we introduce a new approach for the study of the complex behavior of Minority Game using the tools of algorithmic complexity, physical entropy and information theory. We show that physical complexity and mutual information…
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model…
We consider in a market model the cooperative emergence of value due to a positive feedback between perception of needs and demand. Here we consider also a negative feedback from production of the traded products, and find that this…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
Hidden stochastic effects acting uniformly on a many-particle system can generate strong correlations and macroscopic relative fluctuations that persist at large system sizes, even when the particles themselves remain causally independent.…
Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…
"Wisdom of crowds" refers to the phenomenon that the average opinion of a group of individuals on a given question can be very close to the true answer. It requires a large group diversity of opinions, but the collective error, the…
A population of heterogenous agents compeeting through a minority rule is investigated. Agents which frequently loose are selected for evolution by changing their strategies. The stationary composition of the population resulting for this…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…