Related papers: Crowd effects and volatility in a competitive mark…
We present a strategy capable of describing basic features of the dynamics of crowds. The behaviour of the crowd is considered from a twofold perspective. We examine both the large scale behaviour of the crowd, and phenomena happening at…
This chapter investigates some mechanisms behind pattern formation driven by competitive-only or repelling interactions, and explores how these patterns are influenced by different types of particle movement. Despite competition and…
The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired the methodology introduced in arXiv:1402.1288,…
We study the roles of social and individual learning on outcomes of the Minority Game model of a financial market. Social learning occurs via agents adopting the strategies of their neighbours within a social network, while individual…
We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve…
In this work we present a pedagogical introduction to the minority game and various new versions of it with interesting properties, focusing in its applications in socialphysics. For instance, some systems display a kind of social behavior…
People are influenced by the choices of others, a phenomenon observed across contexts in the social and behavioral sciences. Social influence can lock in an initial popularity advantage of an option over a higher quality alternative. Yet…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
We give an overview exploring the role of kinetics in multicomponent mixtures. Compared to the most commonly studied binary (single species plus solvent) case, multicomponent fluids show a rich interplay between kinetics and thermodynamics…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish.…
We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market models is based on systems of competing Brownian particles:…
One of the fundamental principles driving diversity or homogeneity in domains such as cultural differentiation, political affiliation, and product adoption is the tension between two forces: influence (the tendency of people to become…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
We study an interacting agent model of a game-theoretical economy. The agents play a minority-subsequently-majority game and they learn, using backpropagation networks, to obtain higher payoffs. We study the relevance of heterogeneity to…