Modeling Financial Market Using Percolation Theory
Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial markets. In this paper we use the approach of econophysics to explain various mechanisms of price formation in the stock market. We study a model, which was proposed by Jean-Philippe Bouchaud and Dietrich Stauffer (Bouchaud 2002; Chang et al. 2002; Stauffer 2001; Stauffer and Sornette 1990), and used to describe the agents’ cooperation in the market. The most important point of this research is the calibration of the model, using real market conditions to proof the model’s possibility of setting out a real market pricing process
The article considers the structural and dynamic aspects of the pension system development processes and information and analytical support of government decision making in the pension sphere using a set of simulation models. The set is developed using system dynamics methods and agent-based modeling.
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high le-verage might produce the total collapse of a financial system. On a macrolevel the behaviour the of a system was modeled by a differential equation depending on three parameters. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.
The Autonomous Agents and MultiAgent Systems (AAMAS) conference series brings together researchers from around the world to share the latest advances in the field. It is the premier forum for research in the theory and practice of autonomous agents and multi-agent systems. AAMAS 2002, the first of the series, was held in Bologna, followed by Melbourne (2003), New York (2004), Utrecht (2005), Hakodate (2006), Honolulu (2007), Estoril (2008), Budapest (2009), Toronto (2010), Taipei (2011), Valencia (2012), Saint Paul (2013), Paris (2014), and Istanbul (2015). This volume constitutes the proceedings of AAMAS 2016, the fifteenth conference in the series, held in Singapore in May 2016.
In line with previous editions, AAMAS 2016 attracted submissions for a general track and five special tracks: Innovative Applications, Robotics, Embodied Virtual Agents and Human-Agent Interaction, Blue Sky Ideas track, and the JAAMAS presentation track. The special tracks were chaired by leading researchers in their corresponding fields: Onn Shehory and Noa Agmon chaired the Innovative Applications track, Francesco Amigoni and Roderich Gross the Robotics track, Tim Bickmore and Hannes Vilhjálmsson the Embodied Virtual Agents and Human-Agent Interaction track, and Frank Dignum the Blue Sky Ideas track. As a new initiative, the chairs of AAMAS 2016 also solicited articles published in the Journal of Autonomous Agents and Multiagent Systems for the JAAMAS Presentation Track. Only papers that have appeared in the Journal of Autonomous Agents and Multi-agent Systems (JAAMAS) in the 12 months period preceding the AAMAS notification date were eligible. This new track was chaired by Peter Stone.
Jointly with the PC chairs the special track chairs were responsible for appointing the Programme Committee (PC) members and the Senior Programme Committee members (SPC) for their tracks, and they made acceptance/rejection recommendations for their tracks in consultation with Programme Chairs based on input provided by the track PC, SPC, and Area Experts. This year the PC chairs introduced the new role of Area Experts, i.e., SPC members with additional responsibilities, to assist with selecting SPC members for specific research areas, identifying appropriate keywords, and assisting in potential issues during discussion phase. This new role was a success and increased the quality of our SPC and PC, and also the reviewing process in general.
Full paper submissions (8 pages plus bibliographic references) and Blue Sky Ideas paper submissions (4 pages plus references) were solicited for AAMAS 2016. Some of the full paper submissions were accepted as extended abstracts (2 pages). The papers were selected by means of a thorough review and discussion process, which included an opportunity for authors to respond to reviewer comments during a rebuttal phase. All SPC members, Area Experts, and Track Chairs followed and contributed to the technical discussions on the papers they were overseeing. The JAAMAS presentation Track submissions published as extended abstracts were handled by the track chair.
Overall, out of 550 submissions, 137 (25%) were accepted as full papers and 143 (26%) were accepted as extended abstracts. Additionally, all 16 JAAMAS track submissions were accepted.
Full papers were presented orally in 20 minute slots; all extended abstracts and, optionally, full papers were presented as posters during the conference.
Out of the 550 submissions, 351 (64%) had a student as the primary author, 82 of these were accepted as full papers (23%), and a further 90 (26%) were accepted as extended abstracts.
The proceedings also contain 17 Demonstration papers, 13 Doctoral Consortium papers, as well as abstracts of the invited talks and details of some of the awards given.
Nowadays simulation modeling is applied for solving a wide range of problems. There are simulations which require significant performance and time resources. To decrease overall simulation time a model can be converted to a distributed system and executed on a computer network. The goal of this project is to create a library enabling clear and rapid development parallel discrete event models in AnyLogic. The library is aimed for professionals in computer simulation and helps to reduce code amount. The project includes a research on different synchronization algorithms. In this paper we present techniques which can be used in creating distributed models. We present comparison of a single threaded model with a distributed model implementing optimistic algorithm. The comparison shows a significant improvement in wallclock time achieved by separating the model into independent submodels with minimal communications.
Writing the paper on the eve of the G20 summit in Cannes, the author expressed a view that except for French President Sarkozy, no one should be surprised by a disappointing outcome in Cannes. More importantly the author argues that this does not mean that the world economy will not be rebalanced just because the G-20 did not ordain the solution. Unsustainable imbalances will eventually be adjusted by economic forces. Refraining from meaningful and urgent collective action, the G-20 leaders choose to let the world rebalance itself more chaotically, with the inevitable result of making things harder for each other. This is not a collective leadership but a joint abdication of responsibility. To prove its usefulness, the G-20 must do more than help old and emerging economic powers agree to disagree. The paper asserts that if the G20 fails the test, it is only a matter of time when the new creditors will see it as in their individual interests to make common cause either to reform existing institutions or to create new ones free of the dominance of the debtor countries. The author concludes that we can only hope that a new grouping of major creditors arrives as the successor to the G-20 in time to avert a replay of the 1930s. The publication is prepared within the framework of a joint project of Russian International Affairs Council (RIAC) Project and International Organizations Research Institute of the NRU HSE "Increasing Effectiveness of Russia's Participation in G8, G20 and BRICS in accordance with Russian Priorities and National Interests".
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. On a macrolevel of a system its behaviour was modeled by a differential equation depending on three parameters. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.
Increasing volatility on financial markets, uncertainty about Greece's debt restructuring and economic slowdown, and currency depreciation in the CIS region have put growth prospects in Poland and Latvia at risk. However, Poland has more flexibility to respond to these challenges, as it has an independent monetary policy and weaker links with the CIS.