Related papers: Uncertainty relations in models of market microstr…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
We numerically and analytically investigate the behavior of a non-equilibrium phase transition in the second Schl\"ogl autocatalytic reaction scheme. Our model incorporates both an interaction-induced phase separation and a bifurcation in…
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded…
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…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against variations of these parameters. We…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Ultracold alkali atoms provide experimentally accessible model systems for probing quantum states that manifest themselves at the macroscopic scale. Recent experimental realizations of superfluidity in dilute gases of ultracold fermionic…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
While plenty of results have been obtained for single-particle quantum systems with chaotic dynamics through a semiclassical theory, much less is known about quantum chaos in the many-body setting. We contribute to recent efforts to make a…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
An isospin and spin dependent form of the equation of state for nuclear matter is presented. This form is used for the description of nucleon interaction in a new dynamic model. Preliminary calculations show that the new approach makes…
We introduce a lattice spin model that mimics a system of interacting particle through a short range repulsive potential and a long range attractive power law decaying potential. We performed a detailed analysis of the general equilibrium…