7 citations · 10 across the 9 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.TR2018
A model of adaptive, market behavior generating positive returns, volatility and system risk
Misha Perepelitsa
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents…
q-fin.TR2018
Asynchronous stochastic price pump
Misha Perepelitsa, Ilya Timofeyev
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a mark…