اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدShort-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
144
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
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 individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution the results are independent of the graph structure that models the peer network of agents whose decisions influence each other.
قيم البحث
اقرأ أيضاً
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for buying or selli
ng. The market ambiance is represented by a parameter $T$ which plays the role of the temperature in physics. We show that there is a critical value of $T$, say $T_c$, where strong fluctuations between individual states lead to a disordered situation in which there is no majority: the numbers of sellers and buyers are equal, namely the market clearing. We have considered three models: $q=3$ ( sell, buy, wait), $q=5$ (5 states between absolutely buy and absolutely sell), and $q=infty$. The specific measure, by the government or by economic organisms, is parameterized by $H$ applied on the market at the time $t_1$ and removed at the time $t_2$. We have used Monte Carlo simulations to study the time evolution of the price as functions of those parameters. Many striking results are obtained. In particular we show that the price strongly fluctuates near $T_c$ and there exists a critical value $H_c$ above which the boosting effect remains after $H$ is removed. This happens only if $H$ is applied in the critical region. Otherwise, the effect of $H$ lasts only during the time of the application of $H$. The second party of the paper deals with the price variation using a time-dependent mean-field theory. By supposing that the sellers and the buyers belong to two distinct communities with their characteristics different in both intra-group and inter-group interactions, we find the price oscillation with time.
One dimensional stylized model taking into account spatial activity of firms with uniformly distributed customers is proposed. The spatial selling area of each firm is defined by a short interval cut out from selling space (large interval). In this r
epresentation, the firm size is directly associated with the size of its selling interval. The recursive synchronous dynamics of economic evolution is discussed where the growth rate is proportional to the firm size incremented by the term including the overlap of the selling area with areas of competing firms. Other words, the overlap of selling areas inherently generate a negative feedback originated from the pattern of demand. Numerical simulations focused on the obtaining of the firm size distributions uncovered that the range of free parameters where the Paretos law holds corresponds to the range for which the pair correlation between the nearest neighbor firms attains its minimum.
Inverse statistical approaches to determine protein structure and function from Multiple Sequence Alignments (MSA) are emerging as powerful tools in computational biology. However the underlying assumptions of the relationship between the inferred ef
fective Potts Hamiltonian and real protein structure and energetics remain untested so far. Here we use lattice protein model (LP) to benchmark those inverse statistical approaches. We build MSA of highly stable sequences in target LP structures, and infer the effective pairwise Potts Hamiltonians from those MSA. We find that inferred Potts Hamiltonians reproduce many important aspects of true LP structures and energetics. Careful analysis reveals that effective pairwise couplings in inferred Potts Hamiltonians depend not only on the energetics of the native structure but also on competing folds; in particular, the coupling values reflect both positive design (stabilization of native conformation) and negative design (destabilization of competing folds). In addition to providing detailed structural information, the inferred Potts models used as protein Hamiltonian for design of new sequences are able to generate with high probability completely new sequences with the desired folds, which is not possible using independent-site models. Those are remarkable results as the effective LP Hamiltonians used to generate MSA are not simple pairwise models due to the competition between the folds. Our findings elucidate the reasons for the success of inverse approaches to the modelling of proteins from sequence data, and their limitations.
We consider trapped bosons with contact interactions as well as Coulomb repulsion or gravitational attraction in one spatial dimension. The exact ground state energy and wave function are identified in closed form together with a rich phase diagram,
unveiled by Monte Carlo methods, with crossovers between different regimes. A trapped McGuire quantum soliton describes the attractive case. Weak repulsion results in an incompressible Laughlin-like fluid with flat density, well reproduced by a Gross-Pitaevskii equation with long-range interactions. Higher repulsion induces Friedel oscillation and the eventual formation of a Wigner crystal.
We study a simple realistic model for describing the diffusion of an infectious disease on a population of individuals. The dynamics is governed by a single functional delay differential equation, which, in the case of a large population, can be solv
ed exactly, even in the presence of a time-dependent infection rate. This delay model has a higher degree of accuracy than that of the so-called SIR model, commonly used in epidemiology, which, instead, is formulated in terms of ordinary differential equations. We apply this model to describe the outbreak of the new infectious disease, Covid-19, in Italy, taking into account the containment measures implemented by the government in order to mitigate the spreading of the virus and the social costs for the population.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
