Evolutionary financial market models

Ponzi, Adam; Aizawa, Yoshifusa

doi:10.1016/s0378-4371(00)00389-7

Cited by 19 publications

(22 citation statements)

References 23 publications

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“…Furthermore in the transition region the price returns distribution defined by Eq.1 shows a Levy distribution [13,14] for the central values, while for values after about four standard deviations from the mean there is a drop-off of the probability. [3] Time series in this region at β = 80 are shown in Fig.5. The parameter characterising the Levy distribution we found was about 1.5 which is very similar to the actual distribution for the S&P 500 measured by Mantegna and Stanley [5].…”

Section: Resultsmentioning

confidence: 99%

The values distribution in a competing shares financial market model

Ponzi¹,

Aizawa²

2000

AIP Conference Proceedings

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Section: Resultsmentioning

confidence: 99%

The values distribution in a competing shares financial market model

Ponzi¹,

Aizawa²

2000

AIP Conference Proceedings

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“…The first case is analogous. It is not so obvious how the last two processes could result in or contribute to SOC (even though SOC has been claimed both for influences among investors [116] and for wars [117]). In case of SOC, the sizes of the chain reactions should follow a power law distribution.…”

Section: Self-organized Criticalitymentioning

confidence: 99%

Ecological Econophysics for Degrowth

Pueyo

2014

Sustainability

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This paper outlines a synthesis of ecological economics with econophysics and other complexity approaches to economics. Arguably, the resulting "ecological econophysics" will be scientifically sounder than mainstream economics and much better suited to addressing a major challenge of our times: the development of democratically-based policies to reduce economic throughput to an environmentally sustainable level without triggering economic crises and without excluding part of the world's population, i.e., to implement degrowth. Degrowth will need major structural changes, which leads us to question whether there are limits to the malleability of the economic system's architecture. A fundamental limit will be encountered if, as suggested by the physics of complexity, long-lasting complex systems always occur midway between an ordered and a disordered state. There is much evidence that this hypothesis holds and that the current economic system satisfies this condition. However, this does not mean that the problems posed by this system should be unavoidable. Ecological econophysics gives clues to identifying alternative economic systems that would also function between order and chaos, but which would have radically different implications for environmental sustainability and social justice.

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“…Some of these researches tried to develop a model which has the characteristics of financial market behavior [2], [3], especially the model based on multi agent structure [4], [5] [6], [7]. Other researches were reported to analyze characteristics of price process mechanism [8]- [10].…”

Section: Introductionmentioning

confidence: 99%

A Financial Market Model and Its Application

Chen¹

2014

JOEBM

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Abstract-A financial market model is developed according to the pricing mechanism in this paper. By simulating the influence among bargainer and price of financial asset, the model can be trained to fitting pricing process in real financial market such as stock market. A proof-test suggested that the model will be available when used in price forecast in short term. Result of forecast shows that the model is effective.

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Evolutionary financial market models

Cited by 19 publications

References 23 publications

The values distribution in a competing shares financial market model

The values distribution in a competing shares financial market model

Ecological Econophysics for Degrowth

A Financial Market Model and Its Application

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