相关论文: Microeconomic co-evolution model for financial tec…

Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…

We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…

Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point…

Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…

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…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

Large language models are reshaping quantitative investing by turning unstructured financial information into evidence-grounded signals and executable decisions. This survey synthesizes research with a focus on equity return prediction and…

Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and…

The short-time and long-time dynamics of the Bak-Sneppen model of biological evolution are investigated using the damage spreading technique. By defining a proper Hamming distance measure, we are able to make it exhibits an initial…

For a general class of dynamic and stochastic structural models, we show that (i) non-linearity in economic dynamics is a necessary and sufficient condition for time-varying parameters (TVPs) in the reduced-form VARMA process followed by…

See the updated version arXiv:nlin/0111028.

We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been…

Technical analysis is considered the oldest, currently omnipresent, method for financial markets analysis, which uses past prices aiming at the possible short-term forecast of future prices. In the frame of complex systems, methods used to…

The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic data post-statistical-data analysis and micro-simulation analysis. Theoretical…

Technical and fundamental analysis are traditional tools used to analyze individual stocks; however, the finance literature has shown that the price movement of each individual stock correlates heavily with other stocks, especially those…

Macroeconomic data is characterized by a limited number of observations (small T), many time series (big K) but also by featuring temporal dependence. Neural networks, by contrast, are designed for datasets with millions of observations and…

We present a machine learning (ML)-assisted framework bridging manifold learning, neural networks, Gaussian processes, and Equation-Free multiscale modeling, for (a) detecting tipping points in the emergent behavior of complex systems, and…

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…