相关论文: On a universal mechanism for long ranged volatilit…

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

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 study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…

We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…

A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…

In this paper, we present a simple stock market model (the market game) which incorporates, as ab initio dynamics delayed majority dynamics, according to which agents (with heterogeneous strategies and price expectations) are rewarded if…

The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…

One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…

Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…

We study the structure of the underlying network of connections in the Minority Game. There is not an explicit interaction among the agents, but they interact via global magnitudes of the model and mainly through their strategies. We define…

In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

Transactions are an important aspect of human social life, and represent dynamic flow of information, intangible values, such as trust, as well as monetary and social capital. Although much research has been conducted on the nature of…

Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…

A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dependence of option prices on the memory. This implies a…

This short note is devoted to the unraveling of the hidden interactivity of ordinary games which is an artefact of predictions of the behaviour of other players by the fixed player and describes deviations of their real behaviour from such…

We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given…