This paper presents a stochastic multi-agent model of stock market. The market dynamics include switches between chartists and fundamentalists and switches in the prevailing opinions (optimistic or pessimistic) among chartists. A nonlinear dynamical system is derived to depict the underlying...

We propose a simple agent-based model of the political election prediction market which reflects the intrinsic feature of the prediction market as an information aggregation mechanism. Each agent has a vote, and all agents’ votes determine the election result. Some of the agents participate in...

Both laboratory and field evidence suggest that people tend to voluntarily incur costs to punish non-cooperators. While costly punishment typically reduces the average payoff as well as promotes cooperation. Why does the costly punishment evolve? We study the role of punishment in cooperation...

We test competing theories of liquidity dynamics during extreme price movements (EPMs). We find that market makers strategically allow for price pressures and are compensated from correcting pricing errors. As a result, liquidity provision intensifies towards the end of a typical EPM. This goes...

In 2015 the Tokyo Stock Exchange (TSE) implemented Arrowhead Renewal improvements (ARI) that reduced latency from about one millisecond to less than 0.5 milliseconds. Simultaneously, the ARI introduced new risk management functions to improve market fairness by reducing manipulative trading...

Based on the approach of flow distances, the international trade flow system is studied from the perspective of multi-layer flow network. A model of multi-layer flow network is proposed for modelling and analyzing multiple types of flows in flow systems. Then, flow distances are introduced, and...

The highly detailed international trade data among all countries in the world during 1971-2000 shows that the kinds of export goods and the logarithmic GDP (gross domestic production) of a country has an S-shaped relationship. This indicates all countries can be divided into three stages...

We consider a retailer who has two suppliers: one who is RFID enabled and another who is not. Assuming vendor managed inventory (VMI), we address the problem of allocation and pricing of the retail shelf-space. Modeling the problem as a Stackelberg game where the retailer is the leader, we...

We examine the link between retail trading in options and the volatility of the underlying assets. Using Robinhood's introduction of options as a shock to retail trading, we confirm that option volume increased around this event and show that volatility similarly increased for: interlisted US...