Scaling and criticality in a stochastic multi-agent model of a financial market View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

1999-02

AUTHORS

Thomas Lux, Michele Marchesi

ABSTRACT

Financial prices have been found to exhibit some universal characteristics1,2,3,4,5,6 that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way — from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent ‘efficient market hypothesis’7 in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the ‘input’ signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the ‘news arrival process’ in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents. More... »

PAGES

498

Identifiers

URI

http://scigraph.springernature.com/pub.10.1038/17290

DOI

http://dx.doi.org/10.1038/17290

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1021145451


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "University of Bonn", 
          "id": "https://www.grid.ac/institutes/grid.10388.32", 
          "name": [
            "*Department of Economics, University of Bonn, Adenauerallee 24\u201042, 53113 Bonn, Germany"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Lux", 
        "givenName": "Thomas", 
        "id": "sg:person.012137102441.14", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012137102441.14"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Cagliari", 
          "id": "https://www.grid.ac/institutes/grid.7763.5", 
          "name": [
            "\u2020Department of Electrical and Electronic Engineering, University of Cagliari, Piazza d'Armi, 09123 Cagliari, Italy"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Marchesi", 
        "givenName": "Michele", 
        "id": "sg:person.013262640643.74", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013262640643.74"
        ], 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "sg:pub.10.1007/s100510050292", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1004743102", 
          "https://doi.org/10.1007/s100510050292"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0165-1889(97)00061-4", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1008773592"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1209/epl/i1997-00491-5", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1009367469"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/135048596355691", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1010069263"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1540-6261.1970.tb00518.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1012165540"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0378-4371(97)00401-9", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1014311193"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s007800050018", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1014553285", 
          "https://doi.org/10.1007/s007800050018"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0378-4371(97)00368-3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1014929559"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0167-2681(97)00088-7", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1016446644"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0378-4371(97)00316-6", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1021611148"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1038/381767a0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1021721685", 
          "https://doi.org/10.1038/381767a0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1038/376046a0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1024788469", 
          "https://doi.org/10.1038/376046a0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0167-2681(96)00021-2", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1046344545"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0167-2789(94)90287-9", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047075674"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0167-2789(94)90287-9", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047075674"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1051/jp1:1995183", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1056974289"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/294632", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058604458"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/294633", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058604459"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physreve.49.1140", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060716153"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physreve.49.1140", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060716153"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physreve.49.1685", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060716217"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physreve.49.1685", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060716217"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.70.279", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060806808"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.70.279", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1060806808"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1257/jep.4.2.19", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064530952"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2109850", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069765988"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2171879", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069804401"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2325486", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069890176"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "1999-02", 
    "datePublishedReg": "1999-02-01", 
    "description": "Financial prices have been found to exhibit some universal characteristics1,2,3,4,5,6 that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way \u2014 from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent \u2018efficient market hypothesis\u20197 in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the \u2018input\u2019 signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the \u2018news arrival process\u2019 in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1038/17290", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isPartOf": [
      {
        "id": "sg:journal.1018957", 
        "issn": [
          "0090-0028", 
          "1476-4687"
        ], 
        "name": "Nature", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "6719", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "397"
      }
    ], 
    "name": "Scaling and criticality in a stochastic multi-agent model of a financial market", 
    "pagination": "498", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "64bf6c9b786da171af06db0fda0acbc9a0a6f18cf16418ef28536c1e57f52b67"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1038/17290"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1021145451"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1038/17290", 
      "https://app.dimensions.ai/details/publication/pub.1021145451"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-11T12:21", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000362_0000000362/records_87079_00000000.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "https://www.nature.com/articles/17290"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1038/17290'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1038/17290'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1038/17290'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1038/17290'


 

This table displays all metadata directly associated to this object as RDF triples.

147 TRIPLES      21 PREDICATES      51 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1038/17290 schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author Ne038265dc6db4b98a3dd93f1de73fced
4 schema:citation sg:pub.10.1007/s007800050018
5 sg:pub.10.1007/s100510050292
6 sg:pub.10.1038/376046a0
7 sg:pub.10.1038/381767a0
8 https://doi.org/10.1016/0167-2789(94)90287-9
9 https://doi.org/10.1016/s0165-1889(97)00061-4
10 https://doi.org/10.1016/s0167-2681(96)00021-2
11 https://doi.org/10.1016/s0167-2681(97)00088-7
12 https://doi.org/10.1016/s0378-4371(97)00316-6
13 https://doi.org/10.1016/s0378-4371(97)00368-3
14 https://doi.org/10.1016/s0378-4371(97)00401-9
15 https://doi.org/10.1051/jp1:1995183
16 https://doi.org/10.1080/135048596355691
17 https://doi.org/10.1086/294632
18 https://doi.org/10.1086/294633
19 https://doi.org/10.1103/physreve.49.1140
20 https://doi.org/10.1103/physreve.49.1685
21 https://doi.org/10.1103/physrevlett.70.279
22 https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
23 https://doi.org/10.1209/epl/i1997-00491-5
24 https://doi.org/10.1257/jep.4.2.19
25 https://doi.org/10.2307/2109850
26 https://doi.org/10.2307/2171879
27 https://doi.org/10.2307/2325486
28 schema:datePublished 1999-02
29 schema:datePublishedReg 1999-02-01
30 schema:description Financial prices have been found to exhibit some universal characteristics1,2,3,4,5,6 that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way — from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent ‘efficient market hypothesis’7 in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the ‘input’ signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the ‘news arrival process’ in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents.
31 schema:genre research_article
32 schema:inLanguage en
33 schema:isAccessibleForFree false
34 schema:isPartOf N3eab4479badf4e0e837831f5c843f0e9
35 N69e1572952ba4af5a5ebc3af42612b6a
36 sg:journal.1018957
37 schema:name Scaling and criticality in a stochastic multi-agent model of a financial market
38 schema:pagination 498
39 schema:productId N5cff8b9bff174c0d973f9b4d94f6307f
40 N84067ad70613451fb9371de07d57993a
41 Nc2f58719c49f417984b24139521295ed
42 schema:sameAs https://app.dimensions.ai/details/publication/pub.1021145451
43 https://doi.org/10.1038/17290
44 schema:sdDatePublished 2019-04-11T12:21
45 schema:sdLicense https://scigraph.springernature.com/explorer/license/
46 schema:sdPublisher Nf9411cfc6c814467a88d4795f97f5f62
47 schema:url https://www.nature.com/articles/17290
48 sgo:license sg:explorer/license/
49 sgo:sdDataset articles
50 rdf:type schema:ScholarlyArticle
51 N3eab4479badf4e0e837831f5c843f0e9 schema:issueNumber 6719
52 rdf:type schema:PublicationIssue
53 N5cff8b9bff174c0d973f9b4d94f6307f schema:name readcube_id
54 schema:value 64bf6c9b786da171af06db0fda0acbc9a0a6f18cf16418ef28536c1e57f52b67
55 rdf:type schema:PropertyValue
56 N69e1572952ba4af5a5ebc3af42612b6a schema:volumeNumber 397
57 rdf:type schema:PublicationVolume
58 N84067ad70613451fb9371de07d57993a schema:name doi
59 schema:value 10.1038/17290
60 rdf:type schema:PropertyValue
61 N8b5ee48977f44b7f86ac85a3df16c9d6 rdf:first sg:person.013262640643.74
62 rdf:rest rdf:nil
63 Nc2f58719c49f417984b24139521295ed schema:name dimensions_id
64 schema:value pub.1021145451
65 rdf:type schema:PropertyValue
66 Ne038265dc6db4b98a3dd93f1de73fced rdf:first sg:person.012137102441.14
67 rdf:rest N8b5ee48977f44b7f86ac85a3df16c9d6
68 Nf9411cfc6c814467a88d4795f97f5f62 schema:name Springer Nature - SN SciGraph project
69 rdf:type schema:Organization
70 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
71 schema:name Commerce, Management, Tourism and Services
72 rdf:type schema:DefinedTerm
73 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
74 schema:name Banking, Finance and Investment
75 rdf:type schema:DefinedTerm
76 sg:journal.1018957 schema:issn 0090-0028
77 1476-4687
78 schema:name Nature
79 rdf:type schema:Periodical
80 sg:person.012137102441.14 schema:affiliation https://www.grid.ac/institutes/grid.10388.32
81 schema:familyName Lux
82 schema:givenName Thomas
83 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012137102441.14
84 rdf:type schema:Person
85 sg:person.013262640643.74 schema:affiliation https://www.grid.ac/institutes/grid.7763.5
86 schema:familyName Marchesi
87 schema:givenName Michele
88 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013262640643.74
89 rdf:type schema:Person
90 sg:pub.10.1007/s007800050018 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014553285
91 https://doi.org/10.1007/s007800050018
92 rdf:type schema:CreativeWork
93 sg:pub.10.1007/s100510050292 schema:sameAs https://app.dimensions.ai/details/publication/pub.1004743102
94 https://doi.org/10.1007/s100510050292
95 rdf:type schema:CreativeWork
96 sg:pub.10.1038/376046a0 schema:sameAs https://app.dimensions.ai/details/publication/pub.1024788469
97 https://doi.org/10.1038/376046a0
98 rdf:type schema:CreativeWork
99 sg:pub.10.1038/381767a0 schema:sameAs https://app.dimensions.ai/details/publication/pub.1021721685
100 https://doi.org/10.1038/381767a0
101 rdf:type schema:CreativeWork
102 https://doi.org/10.1016/0167-2789(94)90287-9 schema:sameAs https://app.dimensions.ai/details/publication/pub.1047075674
103 rdf:type schema:CreativeWork
104 https://doi.org/10.1016/s0165-1889(97)00061-4 schema:sameAs https://app.dimensions.ai/details/publication/pub.1008773592
105 rdf:type schema:CreativeWork
106 https://doi.org/10.1016/s0167-2681(96)00021-2 schema:sameAs https://app.dimensions.ai/details/publication/pub.1046344545
107 rdf:type schema:CreativeWork
108 https://doi.org/10.1016/s0167-2681(97)00088-7 schema:sameAs https://app.dimensions.ai/details/publication/pub.1016446644
109 rdf:type schema:CreativeWork
110 https://doi.org/10.1016/s0378-4371(97)00316-6 schema:sameAs https://app.dimensions.ai/details/publication/pub.1021611148
111 rdf:type schema:CreativeWork
112 https://doi.org/10.1016/s0378-4371(97)00368-3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014929559
113 rdf:type schema:CreativeWork
114 https://doi.org/10.1016/s0378-4371(97)00401-9 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014311193
115 rdf:type schema:CreativeWork
116 https://doi.org/10.1051/jp1:1995183 schema:sameAs https://app.dimensions.ai/details/publication/pub.1056974289
117 rdf:type schema:CreativeWork
118 https://doi.org/10.1080/135048596355691 schema:sameAs https://app.dimensions.ai/details/publication/pub.1010069263
119 rdf:type schema:CreativeWork
120 https://doi.org/10.1086/294632 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058604458
121 rdf:type schema:CreativeWork
122 https://doi.org/10.1086/294633 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058604459
123 rdf:type schema:CreativeWork
124 https://doi.org/10.1103/physreve.49.1140 schema:sameAs https://app.dimensions.ai/details/publication/pub.1060716153
125 rdf:type schema:CreativeWork
126 https://doi.org/10.1103/physreve.49.1685 schema:sameAs https://app.dimensions.ai/details/publication/pub.1060716217
127 rdf:type schema:CreativeWork
128 https://doi.org/10.1103/physrevlett.70.279 schema:sameAs https://app.dimensions.ai/details/publication/pub.1060806808
129 rdf:type schema:CreativeWork
130 https://doi.org/10.1111/j.1540-6261.1970.tb00518.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1012165540
131 rdf:type schema:CreativeWork
132 https://doi.org/10.1209/epl/i1997-00491-5 schema:sameAs https://app.dimensions.ai/details/publication/pub.1009367469
133 rdf:type schema:CreativeWork
134 https://doi.org/10.1257/jep.4.2.19 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064530952
135 rdf:type schema:CreativeWork
136 https://doi.org/10.2307/2109850 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069765988
137 rdf:type schema:CreativeWork
138 https://doi.org/10.2307/2171879 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069804401
139 rdf:type schema:CreativeWork
140 https://doi.org/10.2307/2325486 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069890176
141 rdf:type schema:CreativeWork
142 https://www.grid.ac/institutes/grid.10388.32 schema:alternateName University of Bonn
143 schema:name *Department of Economics, University of Bonn, Adenauerallee 24‐42, 53113 Bonn, Germany
144 rdf:type schema:Organization
145 https://www.grid.ac/institutes/grid.7763.5 schema:alternateName University of Cagliari
146 schema:name †Department of Electrical and Electronic Engineering, University of Cagliari, Piazza d'Armi, 09123 Cagliari, Italy
147 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...