相关论文: Asset-asset interactions and clustering in financi…
We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics.…
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…
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…
Colloidal systems present exciting opportunities to study clusters. Unlike atomic clusters, which are frequently produced at extremely low density, colloidal clusters may interact with one another. Here we consider the effect of such…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
In this paper we propose a framework inspired by interacting particle physics and devised to perform clustering on multidimensional datasets. To this end, any given dataset is modeled as an interacting particle system, under the assumption…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven approach to clustering based on a correlation blockmodel in…
A simple three-dimensional model of a fluid whose constituent particles interact via a short range attractive and long range repulsive potential is used to model the aggregation into large spherical-like clusters made up of hundreds of…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
Dynamical clustering represents a characteristic feature of active matter consisting of self-propelled agents that convert energy from the environment into mechanical motion. At the micron scale, typical of overdamped dynamics, particles…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
Interaction is so ubiquitous that imaging a world free from it is a difficult fantasy exercise. At the same time, in understanding any complex physical system, our ability of accounting for the mutual interaction of its constituents is…
We investigate the behaviour of a system of particles with the different character of interaction. The approach makes it possible to describe systems of interacting particles by statistical methods taking into account a spatial…
We study stochastic particle systems made up of heterogeneous units. We introduce a general framework suitable to analytically study this kind of systems and apply it to two particular models of interest in economy and epidemiology. We show…