From market games to real-world markets

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market clearing mechanisms and show that an out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. We then employ the formalism of Bouchaud and Sornette in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.Comment: Presented at APFA2 (Liege) July 2000. Proceedings: Eur. Phys. J. B Latex file + 10 .ps figs. [email protected]

The K−p→Σ0π0K^-p\to \Sigma^0\pi^0 reaction at low energies in a chiral quark model

A chiral quark-model approach is extended to the study of the $\bar{K}N$ scattering at low energies. The process of $K^-p\to \Sigma^0\pi^0$ at $P_K\lesssim 800$ MeV/c (i.e. the center mass energy $W\lesssim 1.7$ GeV) is investigated. This approach is successful in describing the differential cross sections and total cross section with the roles of the low-lying $\Lambda$ resonances in $n=1$ shells clarified. The $\Lambda(1405)S_{01}$ dominates the reactions over the energy region considered here. Around $P_K\simeq 400$ MeV/c, the $\Lambda(1520)D_{03}$ is responsible for a strong resonant peak in the cross section. The $\Lambda(1670)S_{01}$ has obvious contributions around $P_K=750$ MeV/c, while the contribution of $\Lambda(1690)D_{03}$ is less important in this energy region. The non-resonant background contributions, i.e. $u$-channel and $t$-channel, also play important roles in the explanation of the angular distributions due to amplitude interferences.Comment: 18 pages and 7 figure

Cellular automata models of traffic flow along a highway containing a junction

We examine various realistic generalizations of the basic cellular automaton model describing traffic flow along a highway. In particular, we introduce a {\em slow-to-start} rule which simulates a possible delay before a car pulls away from being stationary. Having discussed the case of a bare highway, we then consider the presence of a junction. We study the effects of acceleration, disorderness, and slow-to-start behavior on the queue length at the entrance to the highway. Interestingly, the junction's efficiency is {\it improved} by introducing disorderness along the highway, and by imposing a speed limit.Comment: to appear in J. Phys. A:Math.& General. 15 pages, RevTeX, 3 Postscript figure