相关论文: A microscopic model of triangular arbitrage

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…

This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…

The paper models foreign capital inflow from the developed to the developing countries in a stochastic dynamic programming (SDP) framework. Under some regularity conditions, the existence of the solutions to the SDP problem is proved and…

This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…

Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…

The aim of this paper is to study the derivation of appropriate meso- and macroscopic models for interactions as appearing in social processes. There are two main characteristics the models take into account, namely a network structure of…

In this paper we present a method of discrete modeling and analysis of multi-level dynamics of complex large-scale hierarchical dynamic systems subject to external dynamic control mechanism. In a model each state describes parallel dynamics…

We study the dynamics and phase behaviour of a dry suspension of microtubules and molecular motors. We obtain a set of continuum equations by rigorously coarse graining a microscopic model where motor-induced interactions lead to parallel…

In this paper, we propose a statistical aggregation method for agent-based models with heterogeneous agents that interact both locally on a complex adaptive network and globally on a market. The method combines three approaches from…

An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…

The transient behavior of an ecosystem with N random interacting species in the presence of a multiplicative noise is analyzed. The multiplicative noise mimics the interaction with the environment. We investigate different asymptotic…

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…

We introduce a mesocopic modeling approach for active systems. The continuum model allows to consider microscopic details as well as emerging macroscopic behavior and can be considered as a minimal continuum model to describe generic…

We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and…

We consider a phase field crystal modeling approach for binary mixtures of interacting active and passive particles. The approach allows to describe generic properties for such systems within a continuum model. We validate the approach by…

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…

Using as a narrative theme the example of Darwin's finches, a microscopic agent-based model is introduces to study sympatric speciation as a result of competition for resources in the same ecological niche. Varying competition among…

This paper deals with the micro-macro derivation of models from the underlying description provided by methods of the kinetic theory for active particles. We consider the so-called exotic models according to the definition proposed in in…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…