Related papers: Self-organization of value and demand
We investigate the mechanisms behind the power-law distribution of stock returns using artificial market simulations. While traditional financial theory assumes Gaussian price fluctuations, empirical studies consistently show that the tails…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
Non-autonomous differential equations exhibit a highly intricate dynamics, and various concepts have been introduced to describe their qualitative behavior. In general, it is rare to obtain time dependent invariant compact attracting sets…
A network of agents cooperate on a given area. Time evolution of their power is described within a set of nonlinear equations. The limitation of resources is introduced via the Verhulst term, equivalent to a global coupling. Each agent is…
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 partition of society into groups, polarization, and social networks are part of most conversations today. How do they influence price competition? We discuss Bertrand duopoly equilibria with demand subject to network effects. Contrary…
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…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…
A deterministic system of interacting agents is considered as a model for economic dynamics. The dynamics of the system is described by a coupled map lattice with near neighbor interactions. The evolution of each agent results from the…
This article aims to present an elementary analytical solution to the question of the formation of a structure of differentiation of rates of return in a classical gravitation model and in a model of the dynamics of price-wage spirals.
Most demand management approaches with non-mandatory policies assume full users' cooperation, which may not be the case given users' beliefs, needs and preferences. In this paper we propose a mechanism for demand management including…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to small perturbations is linearly small. However, a crucial…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining…
A hallmark of living systems is the ability to employ a common set of versatile building blocks that can self-organize into a multitude of different structures, in a way that can be controlled with minimal cost. This capability can only be…
A simple model economy with locally interacting producers and consumers is introduced. When driven by extremal dynamics, the model self-organizes {\em not} to an attractor state, but to an asymptote, on which the economy has a constant rate…
In this note we discuss a paradigmatic example of interacting particles subject to non conservative external forces and to the action of thermostats consisting of external (finite) reservoirs of particles. We then consider a model of…