相关论文: A microscopic model of triangular arbitrage

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…

We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…

We discuss a novel microscopic model for collective decision-making interacting multi-agent systems. In particular we are interested in modeling a well known phenomena in the experimental literature called equality bias, where agents tend…

The current economic crisis has provoked an active response from the interdisciplinary scientific community. As a result many papers suggesting what can be improved in understanding of the complex socio-economics systems were published.…

In this paper we analyze the rural-urban migration phenomena as it is usually observed in economies which are in the early stages of industrialization. The analysis is conducted by means of a statistical mechanics approach which builds a…

We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…

In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…

We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description…

In nature self-organized systems as flock of birds, school of fishes or herd of sheeps have to deal with the presence of external agents such as predators or leaders which modify their internal dynamic. Such situations take into account a…

In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…

In this article three models of firms interaction on the market are described. One of these models is described by using a differential equation and by Lotka-Volterra model, where the equation has a different form. Also, there are models of…

We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…

It is generally believed that in a situation where individual and collective interests are in conflict, the availability of optional participation is a key mechanism to maintain cooperation. Surprisingly, this effect is sensitive to the use…

This paper investigates the mathematical modeling and the stability of multi-lane traffic in the microscopic scale, studying a model based on two interaction terms. To do this we propose simple lane changing conditions and we study the…

In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…

What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical…

This paper studies a billiards-like microscopic heat conduction model, which describes the dynamics of gas molecules in a long tube with thermalized boundary. We numerically investigate the law of energy exchange between adjacent cells. A…

A money transfer involves a buyer and a seller. A buyer buys goods or services from a seller. The money the buyer decreases is the same as that the seller increases. At each time step, a pair of socially connected agents are selected and…