Social physics

M Jusup, P Holme, K Kanazawa, M Takayasu, I Romić… - Physics Reports, 2022 - Elsevier
Recent decades have seen a rise in the use of physics methods to study different societal
phenomena. This development has been due to physicists venturing outside of their …

Foundations of complexity economics

WB Arthur - Nature Reviews Physics, 2021 - nature.com
Conventional, neoclassical economics assumes perfectly rational agents (firms, consumers,
investors) who face well-defined problems and arrive at optimal behaviour consistent with …

In search of the origins of financial fluctuations: The inelastic markets hypothesis

X Gabaix, RSJ Koijen - 2021 - nber.org
We develop a framework to theoretically and empirically analyze the fluctuations of the
aggregate stock market. Households allocate capital to institutions, which are fairly …

[PDF][PDF] Agent-based modeling in economics and finance: Past, present, and future

RL Axtell, JD Farmer - Journal of Economic Literature, 2022 - oms-inet.files.svdcdn.com
Agent-based modeling (ABM) is a novel computational methodology for representing the
behavior of individuals in order to study social phenomena. Its use is rapidly growing in …

Generating synthetic data in finance: opportunities, challenges and pitfalls

SA Assefa, D Dervovic, M Mahfouz, RE Tillman… - Proceedings of the First …, 2020 - dl.acm.org
Financial services generate a huge volume of data that is extremely complex and varied.
These datasets are often stored in silos within organisations for various reasons, including …

On the constrained time-series generation problem

A Coletta, S Gopalakrishnan… - Advances in Neural …, 2024 - proceedings.neurips.cc
Synthetic time series are often used in practical applications to augment the historical time
series dataset, amplify the occurrence of rare events and also create counterfactual …

[图书][B] Market microstructure in practice

CA Lehalle, S Laruelle - 2018 - books.google.com
This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

Get real: Realism metrics for robust limit order book market simulations

S Vyetrenko, D Byrd, N Petosa, M Mahfouz… - Proceedings of the First …, 2020 - dl.acm.org
Market simulation is an increasingly important method for evaluating and training trading
strategies and testing" what if" scenarios. The extent to which results from these simulations …

Inferring microscopic financial information from the long memory in market-order flow: A quantitative test of the Lillo-Mike-Farmer model

Y Sato, K Kanazawa - Physical Review Letters, 2023 - APS
In financial markets, the market-order sign exhibits strong persistence, widely known as the
long-range correlation (LRC) of order flow; specifically, the sign autocorrelation function …

Learning to simulate realistic limit order book markets from data as a world agent

A Coletta, A Moulin, S Vyetrenko, T Balch - Proceedings of the third acm …, 2022 - dl.acm.org
Multi-agent market simulators usually require careful calibration to emulate real markets,
which includes the number and the type of agents. Poorly calibrated simulators can lead to …