Related papers: Evolution and anti-evolution in a minimal stock ma…
We describe a continuous-time modelling framework for biological population dynamics that accounts for demographic noise. In the spirit of the methodology used by statistical physicists, transitions between the states of the system are…
We discuss a model of an economic community consisting of $N$ interacting agents. The state of each agent at any time is characterized, in general, by a mixed strategy profile drawn from a space of $s$ pure strategies. The community evolves…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
Environment plays a fundamental role in the competition for resources, and hence in the evolution of populations. Here, we study a well-mixed, finite population consisting of two strains competing for the limited resources provided by an…
Given the combined evidences of bounded rationality, limited information and short-term optimization, over-the-counter (OTC) fresh product markets provide a perfect instance where to develop a behavioural approach to the analysis of…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Macroevolution is considered as a problem of stochastic dynamics in a system with many competing agents. Evolutionary events (speciations and extinctions) are triggered by fitness records found by random exploration of the agents' fitness…
Social movements, neurons in the brain or even industrial suppliers are best described by agents evolving on networks with basic interaction rules. In these real systems, the connectivity between agents corresponds to the a critical state…
We study a recently proposed model in which an odd number of agents are competing to be in the minority. The agents have one strategy in hand which is to follow the most recent history. Each agent is also assigned a value p, which is the…
We study the evolution leading to (or regressing from) a large fluctuation in a Statistical Mechanical system. We introduce and study analytically a simple model of many identically and independently distributed microscopic variables $n_m$…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
A microscopic dynamic model is here constructed and analyzed, describing the evolution of the income distribution in the presence of taxation and redistribution in a society in which also tax evasion and auditing processes occur. The focus…