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Kinetic properties in inhomogeneous self-aware media

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  • A. Morozovskiy
  • A. A. Snarskii
  • I. V. Bezsudnov
  • V. A. Sevryukov
  • J. Malinsky
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    Abstract

    The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the small number of situations market influenced by the actions of big firms. 3. If actions of big players lead to the arbitrage opportunity, small players could self-organize to take advantage of this opportunity. The framework is an attempt to combine approaches of Bouchaud, Gabaix, Sornette, Stanley and coauthors. Suggested framework is applied for the analysis of market impact models, behavior of big players, self-organization of market firm and volatility description.

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    File URL: http://arxiv.org/pdf/1308.3668
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1308.3668.

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    Date of creation: Jul 2013
    Date of revision: Aug 2013
    Handle: RePEc:arx:papers:1308.3668

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    Web page: http://arxiv.org/

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