154 citations · 1.2k across the 65 of their papers we have counts for
5 papers · 1 filter
Computational modeling of collective human behavior: Example of financial markets
Andy Kirou, Blazej Ruszczycki, Markus Walser +1
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual…
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
Daniel J. Fenn, Sam D. Howison, Mark McDonald +2
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but th…
Human group formation in online guilds and offline gangs driven by common team dynamic
Neil F. Johnson, Chen Xu, Zhenyuan Zhao +4
Quantifying human group dynamics represents a unique challenge. Unlike animals and other biological systems, humans form groups in both real (offline) and virtual (online) spaces -…
Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
Daniel J. Fenn, Mason A. Porter, Mark McDonald +3
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network co…
Relating the microscopic rules in coalescence-fragmentation models to the macroscopic cluster size distributions which emerge
Blazej Ruszczycki, Ben Burnett, Zhenyuan Zhao +1
Coalescence-fragmentation problems are of great interest across the physical, biological, and recently social sciences. They are typically studied from the perspective of the rate…