相关论文: Volatility driven market in a generalised Lotka Vo…

Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic…

Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf…

The dynamics of generalized Lotka-Volterra systems is studied by theoretical techniques and computer simulations. These systems describe the time evolution of the wealth distribution of individuals in a society, as well as of the market…

This is a pedagogical review of the the Generalized Lotka-Volterra (GLV) model: w_i(t+1) = lambda * w_i(t) + a * W (t) - c * W (t) * w_i(t) where i=1, >......, N and W= (w_1 + w_2 + ...w_N)/N is the average of the w_i's. The GLV models…

We give a microscopic representation of the stock-market in which the microscopic agents are the individual traders and their capital. Their basic dynamics consists in the auto-catalysis of the individual capital and in the global…

The dynamics of generic stochastic Lotka-Volterra (discrete logistic) systems of the form \cite{Solomon96a} $w_i (t+1) = \lambda(t) w_i (t) + a {\bar w (t)} - b w_i (t) {\bar w(t)}$ is studied by computer simulations. The variables $w_i$,…

Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…

Many studies in Economics and other disciplines have been reporting distributions following power-law behavior (i.e distributions of incomes (Pareto's law), city sizes (Zipf's law), frequencies of words in long sequences of text etc.)[1, 6,…

In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…

A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…

Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…

We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…

We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…

We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…

We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…

A generic model of stochastic autocatalytic dynamics with many degrees of freedom $w_i$ $i=1,...,N$ is studied using computer simulations. The time evolution of the $w_i$'s combines a random multiplicative dynamics $w_i(t+1) = \lambda…

The generalized Lotka-Volterra (GLV) equations with quenched random interactions have been extensively used to investigate the stability and dynamics of complex ecosystems. However, the standard linear interaction model suffers from…

We investigate the Generalized Lotka-Volterra (GLV) equations, a central model in theoretical ecology, where species interactions are assumed to be fixed over time and heterogeneous (quenched noise). Recent studies have suggested that the…