相关论文: Bailout Embedding and Stability Analysis of a Dyna…
We study the dynamics of inertial particles in two dimensional incompressible flows. The particle dynamics is modelled by four dimensional dissipative bailout embedding maps of the base flow which is represented by 2-d area preserving maps.…
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…
We study opinion dynamics on networks with a nontrivial community structure, assuming individuals can update their binary opinion as the result of the interactions with an external influence with strength $h\in [0,1]$ and with other…
We present a novel technique, which we term bailout embedding, that can be used to target orbits having particular properties out of all orbits in a flow or map. We explicitly construct a bailout embedding for Hamiltonian systems so as to…
Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We…
The dynamics of a bouncing ball model under the influence of dissipation is investigated by using a two dimensional nonlinear mapping. When high dissipation is considered, the dynamics evolves to different attractors. The evolution of the…
In recent years, opinion dynamics has received an increasing attention, and various models have been introduced and evaluated mainly by simulation. In this study, we introduce and study a dynamical model inspired by the so-called `bounded…
We introduce a utility-driven bounded-confidence model of opinion dynamics in which opinions associated with higher utility exert stronger social influence. In the regime where all agents belong to a single opinion cluster, we derive a…
The field of opinion dynamics has evolved steadily since the earliest studies applying magnetic physics methods to better understand social opinion formation. However, in the real world, complete agreement of opinions is rare, and biaxial…
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…
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatile nature of the emerging DAs. Many models have been proposed…
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…
Opinion and belief dynamics are a central topic in the study of social interactions through dynamical systems. In this work, we study a model where, at each discrete time, all the agents update their opinion as an average of their intrinsic…
The stability of two bubbles rising initially in-line through a viscous liquid is revisited using a global linear stability analysis formulated within an Arbitrary Lagrangian-Eulerian framework, complemented by fully resolved Embedded…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
We introduce a new Ising-type framework for opinion dynamics that explicitly separates private preferences from publicly expressed binary opinions and naturally incorporates neutral agents. Each individual is endowed with an immutable…
A new agent-based, bounded-confidence model for discrete one-dimensional opinion dynamics is presented. The agents interact if their opinions do not differ more than a tolerance parameter. In pairwise interactions, one of the pair, randomly…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method which bypasses all the difficulties of…