相关论文: A simple model of price formation

We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…

We propose a minimal model for the collective dynamics of opinion formation in the society, by modifying kinetic exchange dynamics studied in the context of income, money or wealth distributions in a society. This model has an intriguing…

Effective interactions that violate Newton's third law of action-reaction symmetry are common in systems where interactions are mediated by a non-equilibrium environment. Extensive Monte Carlo simulations are carried out on a…

We introduce a minimal opinion formation model, which is quite flexible and can reproduce a broad variety of the existing micro-influence assumptions and models. At the same time, the model can be easily calibrated on real data, upon which…

Related to an idea of Lewin, a mathematical model for behavioral changes under the influence of a social field is developed. The social field reflects public opinion, social norms and trends. It is not only given by external factors (the…

In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…

We study properties of opinion formation on Wikipedia Ising Networks. Each Wikipedia article is represented as a node and links are formed by citations of one article to another generating a directed network of a given language edition with…

We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…

The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…

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…

We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…

One of the fundamental questions in inflation is how to characterize the structure of different types of models in the field theoretic landscape. Proposals in this direction include attempts to directly characterize the formal structure of…

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…

We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…

Spin models are used in many studies of complex systems---be it condensed matter physics, neural networks, or economics---as they exhibit rich macroscopic behaviour despite their microscopic simplicity. Here we prove that all the physics of…

The Ising model, originally developed for understanding magnetic phase transitions, has become a cornerstone in the study of collective phenomena across diverse disciplines. In this review, we explore how Ising and Ising-like models have…

We propose a minimal multi-agent model for the collective dynamics of opinion formation in the society, by modifying kinetic exchange dynamics studied in the context of income, money or wealth distributions in a society. This model has an…

We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from 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…

The Ising model is a model for pairwise interactions between binary variables that has become popular in the psychological sciences. It has been first introduced as a theoretical model for the alignment between positive (+1) and negative…