相关论文: Interplay between endogenous and exogenous fluctua…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
Unidirectionally coupled dynamical system is studied by focusing on the input (or boundary) dependence. Due to convective instability, noise at an up-flow is spatially amplified to form an oscillation. The response, given by the down-flow…
Cellular processes do not follow deterministic rules; even in identical environments genetically identical cells can make random choices leading to different phenotypes. This randomness originates from fluctuations present in the…
We introduce a new class of models in which a large number of "agents" organize under the influence of an externally imposed coherent noise. The model shows reorganization events whose size distribution closely follows a power law over many…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
We consider the limiting behavior of fluctuations of small noise diffusions with multiple scales around their homogenized deterministic limit. We allow full dependence of the coefficients on the slow and fast motion. These processes arise…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
System-environment interactions are intrinsically nonlinear and dependent on the interplay between many degrees of freedom. The complexity may be even more pronounced when one aims to describe biologically motivated systems. In that case,…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
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…
We consider a population of agents competing for finite resources using strategies based on two channels of signals. The model is applicable to financial markets, ecosystems and computer networks. We find that the dynamics of the system is…
We propose a simple framework to understand commonly observed crisis waves in macroeconomic Agent Based models, that is also relevant to a variety of other physical or biological situations where synchronization occurs. We compute exactly…
Intracellular fluctuations, mainly triggered by gene expression, are an inevitable phenomenon observed in living cells. It influences generation of phenotypic diversity in genetically identical cells. Such variation of cellular components…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
The relaxation towards equilibrium of systems with long range interactions is not yet fully understood. As a step towards such a comprehension, we propose the study of the dynamical equilibrium fluctuations in a model system with long range…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
The effects of demographic stochasticity in the long term behaviour of endemic infectious diseases have been considered for long as a necessary addition to an underlying deterministic theory. The latter would explain the regular behaviour…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…