IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1411.1689.html
   My bibliography  Save this paper

Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents

Author

Listed:
  • Mateusz Denys
  • Tomasz Gubiec
  • Ryszard Kutner

Abstract

We proposed the agent-based model of financial markets where agents (or traders) are represented by three-state spins located on the plane lattice or social network. The spin variable represents only the individual opinion (advice) that each trader gives to his nearest neighbors. In the model the agents can be considered as cunning. For instance, although agent having currently a maximal value of the spin advises his nearest neighbors to buy some stocks he, perfidiously, will sell some stocks in the next Monte Carlo step or will occupy a neutral position. In general, the trader has three possibilities: he can buy some stocks if his opinion change within a single time step is positive, sell some stocks if this change is negative, or remain inactive if his opinion is unchanged. The predictions of our model, found by simulations, well agree with the empirical universal distribution of interoccurrence times between daily losses below negative thresholds following the Tsallis q-exponential.

Suggested Citation

  • Mateusz Denys & Tomasz Gubiec & Ryszard Kutner, 2014. "Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents," Papers 1411.1689, arXiv.org.
    • Handle: RePEc:arx:papers:1411.1689
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1411.1689
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Francesco C. Billari & Thomas Fent & Alexia Prskawetz & Jürgen Scheffran (ed.), 2006. "Agent-Based Computational Modelling," Contributions to Economics, Springer, number 978-3-7908-1721-8.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mostafa Shaaban & Carmen Schwartz & Joseph Macpherson & Annette Piorr, 2021. "A Conceptual Model Framework for Mapping, Analyzing and Managing Supply–Demand Mismatches of Ecosystem Services in Agricultural Landscapes," Land, MDPI, vol. 10(2), pages 1-19, January.
    2. Jiunyan Wu & Tomoki Sekiguchi, 2020. "A multilevel and dynamic model of intragroup conflict and decision making: application of agent-based modeling," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-26, December.
    3. Flaminio Squazzoni, 2010. "The impact of agent-based models in the social sciences after 15 years of incursions," History of Economic Ideas, Fabrizio Serra Editore, Pisa - Roma, vol. 18(2), pages 197-234.
    4. Toni Mora, 2010. "BMI and Spanish labour status: evidence by gender from the city of Barcelona," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 11(3), pages 239-253, June.
    5. G. Blind & A. Pyka, 2014. "The rule approach in evolutionary economics: A methodological template for empirical research," Journal of Evolutionary Economics, Springer, vol. 24(5), pages 1085-1105, November.
    6. Andras Simonovits, 2015. "Optimal Child-Related Transfers and Personal Income Tax with Endogenous Fertility," CERS-IE WORKING PAPERS 1524, Institute of Economics, Centre for Economic and Regional Studies.
    7. Fahse, Lorenz & Papastefanou, Phillip & Otto, Mathias, 2018. "Estimating acute mortality of Lepidoptera caused by the cultivation of insect-resistant Bt maize – The LepiX model," Ecological Modelling, Elsevier, vol. 371(C), pages 50-59.
    8. Andras Simonovits, 2015. "Socially Optimal Child-Related Transfers and Personal Income Tax with Endogenous Fertility," CERS-IE WORKING PAPERS 1537, Institute of Economics, Centre for Economic and Regional Studies.
    9. Francesco Billari & Alexia Prskawetz & Belinda Aparicio Diaz & Thomas Fent, 2007. "The "Wedding-Ring"," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 17(3), pages 59-82.
    10. Mostafa Shaaban & Jürgen Scheffran & Jürgen Böhner & Mohamed S. Elsobki, 2019. "A Dynamic Sustainability Analysis of Energy Landscapes in Egypt: A Spatial Agent-Based Model Combined with Multi-Criteria Decision Analysis," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 22(1), pages 1-4.
    11. Sascha Holzhauer & Friedrich Krebs & Andreas Ernst, 2013. "Considering baseline homophily when generating spatial social networks for agent-based modelling," Computational and Mathematical Organization Theory, Springer, vol. 19(2), pages 128-150, June.
    12. Meysam Alizadeh & Claudio Cioffi-Revilla & Andrew Crooks, 2017. "Generating and analyzing spatial social networks," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 362-390, September.
    13. Font Vivanco, David & McDowall, Will & Freire-González, Jaume & Kemp, René & van der Voet, Ester, 2016. "The foundations of the environmental rebound effect and its contribution towards a general framework," Ecological Economics, Elsevier, vol. 125(C), pages 60-69.
    14. Fent, Thomas, 2006. "Collective Social Dynamics and Social Norms," MPRA Paper 2841, University Library of Munich, Germany.
    15. Thomas Fent & Belinda Aparicio Diaz & Alexia Prskawetz, 2013. "Family policies in the context of low fertility and social structure," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 29(37), pages 963-998.
    16. Scott Moss, 2007. "Alternative Approaches to the Empirical Validation of Agent-Based Models," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 11(1), pages 1-5.
    17. Lynne Hamill & Nigel Gilbert, 2009. "Social Circles: A Simple Structure for Agent-Based Social Network Models," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 12(2), pages 1-3.
    18. Wolf, Ingo & Schröder, Tobias & Neumann, Jochen & de Haan, Gerhard, 2015. "Changing minds about electric cars: An empirically grounded agent-based modeling approach," Technological Forecasting and Social Change, Elsevier, vol. 94(C), pages 269-285.
    19. Kurt Dopfer, 2016. "Evolutionary economics," Chapters, in: Gilbert Faccarello & Heinz D. Kurz (ed.), Handbook on the History of Economic Analysis Volume III, chapter 14, pages 175-193, Edward Elgar Publishing.
    20. Thomas Fent & Patrick Groeber & Frank Schweitzer, 2007. "Coexistence Of Social Norms Based On In- And Out-Group Interactions," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 271-286.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1411.1689. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.