239 citations · 328 across the 10 of their papers we have counts for
4 papers · 1 filter
Model of cunning agents
Mateusz Denys
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial…
Universality of market superstatistics
Mateusz Denys, Maciej Jagielski, Tomasz Gubiec +2
We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "super…
Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach
M. Kozłowska, T. Gubiec, T. R. Werner +4
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriou…
Reinterpretation of Sieczka-Hołyst financial market model
Mateusz Denys, Tomasz Gubiec, Ryszard Kutner
In this work we essentially reinterpreted the Sieczka-Hołyst (SH) model to make it more suited for description of real markets. For instance, this reinterpretation made it possible…