Related papers: Uncertainty relations in models of market microstr…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
Synthetic quantum systems with interacting constituents play an important role in quantum information processing and in elucidating fundamental phenomena in many-body physics. Following impressive advances in cooling and trapping…
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
In this short note we investigate the natur of the phase transitions in a spin market model as a function of the interaction strength between local and global effects. We find that the stochastic dynamics of this stylized market model…
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in…
We describe a financial market model which shows a non-equilibrium phase transition. Near the transition punctuated equilibrium behaviour is seen, with avalanches occuring on all scales. This scaling is described by an exponent very near 1.…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
We study a system of $N$ interacting particles on $\bf{Z}$. The stochastic dynamics consists of two components: a free motion of each particle (independent random walks) and a pair-wise interaction between particles. The interaction belongs…
States of thermal equilibrium of an infinite system of interacting particles in a Euclidean space are studied. The particles bear 'unbounded' spins with a given symmetric a priori distribution. The interaction between the particles is…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
In this article we consider two spin$-1/2$ chains described, respectively, by the thermodynamic limit of the $XY$ model with the usual two site interaction, and an extension of this model (without taking the thermodynamics limit), called…
In this paper we study binary interaction schemes with uncertain parameters for a general class of Boltzmann-type equations with applications in classical gas and aggregation dynamics. We consider deterministic (i.e., a priori averaged) and…