相关论文: Structurally dynamic spin market networks

Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…

The characterization of the "most connected" nodes in static or slowly evolving complex networks has helped in understanding and predicting the behavior of social, biological, and technological networked systems, including their robustness…

An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…

Recent years saw an increased interest in modeling and understanding the mechanisms of opinion and innovation spread through human networks. Using analysis of real-world social data, researchers are able to gain a better understanding of…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

The dynamics of competing opinions in social network play an important role in society, with many applications in diverse social contexts as consensus, elections, morality and so on. Here we study a model of interacting agents connected in…

Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…

We analyze a model of interacting agents (e.g. prebiotic chemical species) which are represended by nodes of a network, whereas their interactions are mapped onto directed links between these nodes. On a fast time scale, each agent follows…

We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…

We investigate a social system of agents faced with a binary choice. We assume there is a correct, or beneficial, outcome of this choice. Furthermore, we assume agents are influenced by others in making their decision, and that the agents…

Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…

We propose a family of models to study the evolution of ties in a network of interacting agents by reinforcement and penalization of their connections according to certain local laws of interaction. The family of stochastic dynamical…

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…

We introduce a simple network model that is inspired by social information networks such as twitter. Agents are nodes, connecting to another agent by building a directed edge has a cost, and reaching other agents via short directed paths…

We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…

In this work, we consider a population composed of a continuum of agents that seek to maximize a payoff function by moving on a network. The nodes in the network may represent physical locations or abstract choices. The population is…

The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…

Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…

We present a novel model to simulate real social networks of complex interactions, based in a granular system of colliding particles (agents). The network is build by keeping track of the collisions and evolves in time with correlations…

An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…