Papers
Follow
Find tag "FETF"
164.7K views | +336 today
Papers
Recent publications related to complex systems
Your new post is loading...
Rescooped by Complexity Digest from FuturICT Journal Publications
Scoop.it!

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

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.


Via FuturICT
more...
No comment yet.
Rescooped by Complexity Digest from FuturICT Journal Publications
Scoop.it!

When Networks Network

When Networks Network | Papers | Scoop.it

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.

 


Via FuturICT
more...
No comment yet.