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This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading…
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…
We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level and temperature. The interaction between different factors is…
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to…
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
Recent studies have investigated various dynamic processes characterizing collective behaviors in real-world systems. However, these dynamics have been studied individually in specific contexts. In this article, we present a holistic…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
We develop a thermodynamic framework for modeling innovation adoption and abandonment dynamics using statistical mechanics. Starting from a mathematical model for an adoption distribution that fits empirically obtained date, we construct a…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
Control theory arose from a need to control synthetic systems. From regulating steam engines to tuning radios to devices capable of autonomous movement, it provided a formal mathematical basis for understanding the role of feedback in the…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
Controlling a dynamical system is the ability of changing its configuration arbitrarily through a suitable choice of inputs. It is a very well studied concept in control theory, with wide ranging applications in medicine, biology, social…
The fundamental lemma from behavioral systems theory yields a data-driven non-parametric system representation that has shown great potential for the data-efficient control of unknown linear and weakly nonlinear systems, even in the…
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…
Thermoelectric efficiency is defined as the ratio of power delivered to the load of a device to the rate of heat flow from the source. Till date, it has been studied in presence of thermodynamic constraints set by the Onsager reciprocal…
Agents buy and sell services. All services are of equal quality. Buyers choose sellers at random. Monetary and fiscal policies are imposed by a central bank and a central government. Credit is supplied by a commercial banking system.…