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Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts

Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts | FuturICT Journal Publications | Scoop.it

Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts

Daniel R. Parisi, Didier Sornette, and Dirk Helbing

Accepted Friday Dec 14, 2012

We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present already when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our finding suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.

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When Networks Network

When Networks Network | FuturICT Journal Publications | Scoop.it

When Networks Network

By Elizabeth Quill

 

- When networks depend on other networks, such as a communications network that relies on a power grid, failure can cascade back and forth between the two. This behavior may explain sudden breakdowns in interacting systems. Thus, the effects of an attack on a single node can reduce an übernetwork  that starts with 12 operating nodes to just four.- 

 

Once studied solo, systems display surprising behavior when they interact.

 

Half a dozen times each night, your slumbering body performs a remarkable feat of coordination.

 

During the deepest throes of sleep, the body’s support systems run on their own timetables. Nerve cells hum along in your brain, their chitchat generating slow waves that signal sleep’s nether stages. Yet, like buses and trains with overlapping routes but unsynchronized schedules, this neural conversation has little to say to your heart, which pumps blood to its own rhythm through the body’s arteries and veins. Air likewise skips into the nostrils and down the windpipe in seemingly random spits and spats. And muscle fluctuations that make the legs twitch come and go as if in a vacuum. Networks of muscles, of brain cells, of airways and lungs, of heart and vessels operate largely independently.

 

Every couple of hours, though, in as little as 30 seconds, the barriers break down. Suddenly, there’s synchrony. All the disjointed activity of deep sleep starts to connect with its surroundings. Each network — run via the group effort of its own muscular, cellular and molecular players — joins the larger team.

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