Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts

Autores
Parisi, Daniel Ricardo; Sornette, Didier; Helbing, Dirk
Año de publicación
2013
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We propose and document the evidence for an analogy between the dynamics of granular counterflows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counterflows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our findings suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.
Fil: Parisi, Daniel Ricardo. Instituto Tecnológico de Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Sornette, Didier. Eidgenössische Technische Hochschule Zürich; Suiza
Fil: Helbing, Dirk. Eidgenössische Technische Hochschule Zürich; Suiza
Materia
Stylized Facts
Pedestrian Dynamics
Model of Financial Markets
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/22041
Acceder
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spelling Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized factsParisi, Daniel RicardoSornette, DidierHelbing, DirkStylized FactsPedestrian DynamicsModel of Financial Marketshttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1https://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5We propose and document the evidence for an analogy between the dynamics of granular counterflows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counterflows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our findings suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.Fil: Parisi, Daniel Ricardo. Instituto Tecnológico de Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Sornette, Didier. Eidgenössische Technische Hochschule Zürich; SuizaFil: Helbing, Dirk. Eidgenössische Technische Hochschule Zürich; SuizaAmerican Physical Society2013-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/22041Parisi, Daniel Ricardo; Sornette, Didier; Helbing, Dirk; Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts; American Physical Society; Physical Review E: Statistical, Nonlinear and Soft Matter Physics; 87; 1; 1-2013; 128041-1280491539-3755CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://journals.aps.org/pre/abstract/10.1103/PhysRevE.87.012804info:eu-repo/semantics/altIdentifier/doi/10.1103/PhysRevE.87.012804info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-10T13:12:00Zoai:ri.conicet.gov.ar:11336/22041instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-10 13:12:01.058CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
title Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
spellingShingle Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
Parisi, Daniel Ricardo
Stylized Facts
Pedestrian Dynamics
Model of Financial Markets
title_short Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
title_full Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
title_fullStr Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
title_full_unstemmed Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
title_sort Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts
dc.creator.none.fl_str_mv Parisi, Daniel Ricardo
Sornette, Didier
Helbing, Dirk
author Parisi, Daniel Ricardo
author_facet Parisi, Daniel Ricardo
Sornette, Didier
Helbing, Dirk
author_role author
author2 Sornette, Didier
Helbing, Dirk
author2_role author
author
dc.subject.none.fl_str_mv Stylized Facts
Pedestrian Dynamics
Model of Financial Markets
topic Stylized Facts
Pedestrian Dynamics
Model of Financial Markets
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv We propose and document the evidence for an analogy between the dynamics of granular counterflows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counterflows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our findings suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.
Fil: Parisi, Daniel Ricardo. Instituto Tecnológico de Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Sornette, Didier. Eidgenössische Technische Hochschule Zürich; Suiza
Fil: Helbing, Dirk. Eidgenössische Technische Hochschule Zürich; Suiza
description We propose and document the evidence for an analogy between the dynamics of granular counterflows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counterflows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our findings suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.
publishDate 2013
dc.date.none.fl_str_mv 2013-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/22041
Parisi, Daniel Ricardo; Sornette, Didier; Helbing, Dirk; Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts; American Physical Society; Physical Review E: Statistical, Nonlinear and Soft Matter Physics; 87; 1; 1-2013; 128041-128049
1539-3755
CONICET Digital
CONICET
url http://hdl.handle.net/11336/22041
identifier_str_mv Parisi, Daniel Ricardo; Sornette, Didier; Helbing, Dirk; Financial price dynamics and pedestrian counterflows: a comparison of statistical stylized facts; American Physical Society; Physical Review E: Statistical, Nonlinear and Soft Matter Physics; 87; 1; 1-2013; 128041-128049
1539-3755
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://journals.aps.org/pre/abstract/10.1103/PhysRevE.87.012804
info:eu-repo/semantics/altIdentifier/doi/10.1103/PhysRevE.87.012804
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv American Physical Society
publisher.none.fl_str_mv American Physical Society
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 12.993085

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