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Modeling Financial Market Using Percolation Theory
P. 47-53.
Byachkova A.
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
Слуцкий М. Г., Barash L., Тарасевич Ю. Ю., Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2018 Vol. 98 No. 6 P. 062130-1-062130-8
The behavior of the percolation threshold and the jamming coverage for isotropic random sequential adsorption samples has been studied by means of numerical simulations. A parallel algorithm that is very efficient in terms of its speed and memory usage has been developed and applied to the model involving large linear k-mers on a square lattice ...
Added: December 23, 2018
Brno : Masaryk University Press, 2019
The publication contains accepted contributions presented during the 16th International Scientific Conference European Financial Systems 2019. This year the conference hosted experts and professionals from various fields, such as Financial Markets, Accounting, Finance, Taxes, Banking, Corporate and International Finance, Financial Literacy, Macroeconomics, Microeconomics, etc. All contributions are in English as the official language of the ...
Added: February 4, 2022
Volodin S., Skiba A., Валютное регулирование. Валютный контроль 2017 № 3 С. 52-59
When analyzing the issues of takeover procedure, accompanied by acquisition of large blocks of shares, voluntary and mandatory offer to acquire publicly trading shares as well as squeeze out mechanisms, a lot of questions regarding minority shareholders’ roles in such procedures come up. In fact, the problem of their protection becomes the main issue for discussion. The ...
Added: May 7, 2017
Беунца Д., Старк Д., Экономическая социология 2016 Т. 17 № 2 С. 50-81
The article treats quantitative finance sociologically. It is argued that although mathematical modeling dramatically changed the nature of modern finance, it did not eliminate sociality from financial markets. However, the traditional sociological approach to markets, with its focus on personal social ties and networks, should be transformed as well. Anonymous financial models have not replaced ...
Added: April 10, 2016
Morozova Y. A., , in : SAI Intelligent Systems Conference 2015 (IntelliSys 2015). : L. : IEEE, 2015. P. 855-856.
The research concerns issues on simulation modeling of Russian Federation higher education system considering its interaction with macroeconomic and demographic factors. The proposed range of simulation models of higher education system is developed using agent-based modeling and system dynamics methods. The range of models allows strategic planning of development of Russian Federation higher education system. ...
Added: October 1, 2015
Lychkina N. N., В кн. : Системный анализ в экономике – 2014. Том 1/ Материалы III Международной научно-практической конференции «Системный анализ в экономике – 2014». Москва, 13-14 ноября 2014 г./ Под общей ред. чл.-корр. РАН Г.Б. Клейнера – М.: ЦЭМИ РАН, 2015. – 238 стр. Т. 1.: М. : ЦЭМИ РАН, 2015. С. 198-202.
The report considers the basic methods of simulation of socio-economic systems and processes such as system dynamics and multi-agent-based computer simulation, their possibilities in studying the dynamic aspects of the processes of strategic development of socio-economic systems. It offers the methods of combining composite system-dynamic and agent-based models, allowing us to investigate the dynamics of ...
Added: December 5, 2015
Belousov F., Вестник ЦЭМИ 2018 № 4
The article is devoted to the study of the evolution of civilization with two social classes ("nomads" and "tillers"), and, accordingly, with two different methods of production. Such models can be a useful tool for studying social and economic history. ...
Added: February 12, 2019
Akopov A. S., Beklaryan L., International Journal of Pure and Applied Mathematics 2012 Vol. 79 No. 1 P. 121-138
In this research work is presented the approach to modeling of the crowd behavior (ensemble) in extreme situations based on methods of an agent simulation. The main feature of the approach is the taking into account the dynamics of each agent in researched ensemble.
It is important to note, the effect of the full or partial ...
Added: September 26, 2012
Gilman M. G., Вестник международных организаций: образование, наука, новая экономика 2011 № 4 С. 11-19
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 ...
Added: October 4, 2012
Goldengorin B. I., Kocheturov A. A., Pardalos P. M., , in : Clusters, orders, trees: methods and applications. In Honor of Boris Mirkin's 70th Birthday. Vol. 92.: Berlin : Springer, 2014. P. 77-89.
In the course of recent ten years algorithms and technologies for network structures analysis have been applied to financial markets among other approaches. The first step of such an analysis is to describe the considered financial market via the correlation matrix of stocks prices over a certain period of time. The second step is to ...
Added: October 7, 2013
Olga Valba, Gorsky A., Scientific Reports 2022 Vol. 12 No. 1 Article 5540
It is important to reveal the mechanisms of propagation in diferent cognitive networks. In this study, we discuss the k-clique percolation phenomenon as related to the free association networks including the English Small World of Words project (SWOW-EN). We compared diferent semantic networks and networks of free associations for various languages. Surprisingly, k-clique percolation for ...
Added: October 29, 2022
Zakhodiakin G., Gobedzhishvili K. A., Логистика и управление цепями поставок 2019 № 3 (92) С. 54-62
Russian mining industry experiences a rapid growth providing an attractive market for suppliers of mining equipment. However, it's a customer-dominated market. The customers set stringent requirements for the initial equipment supply, as well as for the after-sale service and spare parts supply. The manufacturers of mining equipment are thus facing the need to rigorously analyze ...
Added: August 7, 2019
Peresetsky A., International Journal of Computational Economics and Econometrics 2014 Vol. 4 No. 1/2 P. 82-95
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is ...
Added: March 23, 2014
Rozmainsky I. V., Економiчний Вiсник Донбасу 2012 № 4(22) С. 34-42
Heterodox – Post Keynesian and Institutionalist - economics proves that expansion of financial sector can be harmful for the real sector. Such conclusion is an effect of account of variability of preferences, planning horizons and degree of rationality in the behavior of economic agents. We suppose that both methodology and conclusions of Heterodox Economics can ...
Added: December 26, 2012
Asaturov K. G., Teplova T., Управление финансовыми рисками 2012 № 4(32) С. 254-266
интеграционные процессы на финансовых рынках, эффект перетекания волатильности, динамическая корреляция рядов доходности ...
Added: November 21, 2012
Бекларян Л. А., Makarov V., Машинное обучение и анализ данных 2015 Т. 10 С. 1385-1395
The Henning model of population behavior and its modifications are considered. Modifications of the model are made to overcome some disadvantages of Henning model, which are connected to death of the whole population. This subject is important to study, since such phenomenons may be observed as in unexplored wilderness and in human civilization. Another one ...
Added: February 21, 2015
Lychkina N. N., В кн. : Управленческие науки в современном мире. Т. II. Кн. 2.: Финансовый университет при Правительстве РФ, 2014. С. 396-400.
The report discusses the paradigm of simulation - system dynamics, agent-based modeling, and composite mix of dynamic models in the enterprise ...
Added: June 1, 2014
Lychkina N. N., Morozova Y. A., , in : Proceeding of the 32nd International Conference of the System Dynamics Society. : NY : System Dynamics Society, 2014. P. 83.
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. ...
Added: October 27, 2014
Strategic development and dynamic models of supply chains: search for effective model constructions.
Lychkina N. N., , in : Proceedings of the 2016 SAI Intelligent Systems Conference (INTELLISYS). : L. : IEEE, 2016. P. 737-743.
In this research the author studies the approaches to simulation of strategic development of supply chains and formation of cooperation strategies on the basis of the methods of ontology engineering, complex system dynamics simulation and agent-based simulation. ...
Added: February 25, 2017
Enikolopov R., Petrova M., Sonin K., American Economic Journal: Applied Economics 2018 Vol. 10 No. 1 P. 150-174
Do new media promote accountability in non-democratic countries, where offline media are often suppressed? We show that blog posts, which exposed corruption in Russian state-controlled companies, had a negative causal impact on their market returns. For identification, we exploit the precise timing of blog posts by looking at within-day results with company-day fixed effects. Furthermore, ...
Added: January 5, 2017
Kondratyev M., Ивановский Р. И., В кн. : Проблема комплексного обеспечения информационной безопасности и совершенствование образовательных технологий подготовки специалистов силовых структур. Межвузовский сборник трудов III Всероссийской научно-технической конференции ИКВО НИУ ИТМО. : СПб. : НИУ ИТМО, 2013. С. 91-94.
Перечислены основные подходы к созданию имитационных моделей сложных объектов в нетехнических областях знаний. Представлены примеры разработанных моделей в логистике, экономике, медицине, социологии. ...
Added: October 31, 2013
Pogorelova P., Peresetsky A., Прикладная эконометрика 2020 Т. 57 С. 53-71
In this paper, the Kalman linear filter method is used to decompose non‐synchronous observations of the realized volatility of financial indices (NIKKEI 225, FTSE 100, S&P 500) into unobservable global and local components. It is shown that the volatility of the New York S&P 500 index is a global component, while the Tokyo NIKKEI 225 ...
Added: August 26, 2020
Skopenkov M., Mathematical Physics Analysis and Geometry 2022 Vol. 25 Article 18
We study linearization of lattice gauge theory. Linearized theory approximates lattice gauge theory in the same manner as the loop O(n)-model approximates the spin O(n)-model. Under mild assumptions, we show that the expectation of an observable in linearized Abelian gauge theory coincides with the expectation in the Ising model with random edge-weights. We find a ...
Added: August 12, 2022
Istanbul : [б.и.], 2014
Added: March 18, 2015