18,651 research outputs found
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 reaction at low energies in a chiral quark model
A chiral quark-model approach is extended to the study of the
scattering at low energies. The process of at
MeV/c (i.e. the center mass energy GeV) is
investigated. This approach is successful in describing the differential cross
sections and total cross section with the roles of the low-lying
resonances in shells clarified. The dominates the
reactions over the energy region considered here. Around MeV/c,
the is responsible for a strong resonant peak in the
cross section. The has obvious contributions around
MeV/c, while the contribution of is less
important in this energy region. The non-resonant background contributions,
i.e. -channel and -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
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