Understanding Financial Market States Using an Artificial Double Auction Market

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, P_c. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range P_c = 0.40 to P_c = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than P_c = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than P_c = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at P_c = 0.85.     

A Financial Market Model Incorporating Herd Behaviour

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.     

Symmetry and asymmetry in the probability field

The concepts of right-hand entropy and left-hand entropy as a measure of the symmetry in a probability field are defined. Likewise the concept of the asymmetry as a very important property of the same probability field is emphasized. Thus, it is shown that some schemes, which are indistinguishable by means of Shannon's entropy, may be recognized by using these new concepts.     

Symmetry and the tentacular apparatus in Cnidaria

Comparative analysis provides evidence that bilateral symmetry is a primary character of Cnidaria. All anthozoan taxa are characterized by bilateral symmetry. The anthozoan pharyngeal plane is a plane of bilateral symmetry of mesenteries and, at the same time, it is a plane of bilateral symmetry of regulatory gene expression in anthozoan morphogenesis. In Medusozoa, the bilateral symmetry is replaced by radial symmetry, but some hydrozoans (for example, Corymorphidae) demonstrate bilateral symmetry. The bilateral symmetry of Cnidaria is thought to be inherited from the common ancestors of both cnidarians and triploblastic bilaterians. The secondary radial symmetry of Cnidaria evidently is a result of the adaptation to the sessile mode of life. The presence of both the marginal and labial rings of tentacles is supposed to be a plesiomorphic character of Cnidaria. In some groups of cnidarians, one of the tentacle rings may be reduced.     

Symmetry in prostaglandins

Observations of the agonist activity of prostaglandins on the guinea-pig ileum are analysed. The structure-activity relationships are interpreted in relation to the approximate diad axis of symmetry in the molecules. It is suggested that some receptors for prostaglandins may have a perfect diad axis of symmetry between identical protein subunits.     

Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods

We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing the clustering structure with the underlying industrial activity classification. We apply, for the first time to financial data, a novel hierarchical clustering approach, the Directed Bubble Hierarchical Tree and we compare it with other methods including the Linkage and k-medoids. By taking the industrial sector classification of stocks as a benchmark partition, we evaluate how the different methods retrieve this classification. The results show that the Directed Bubble Hierarchical Tree can outperform other methods, being able to retrieve more information with fewer clusters. Moreover, we show that the economic information is hidden at different levels of the hierarchical structures depending on the clustering method. The dynamical analysis on a rolling window also reveals that the different methods show different degrees of sensitivity to events affecting financial markets, like crises. These results can be of interest for all the applications of clustering methods to portfolio optimization and risk hedging.     

Symmetry and promiscuity in procyanidin biochemistry

The occurrence and significance of procyanidins in the plant kingdom are reviewed. Stages in the elucidation of the structure and the stereochemistry of the procyanidins are outlined. Preferred helical conformations for the procyanidins, arising from the steric hindrance to rotation about the interflavan bond, are described. Biosynthetic studies are discussed and a theory of procyanidin metabolism is proposed.     

Symmetry and its transition in phyllotaxis

Journal of Plant Research - Symmetry is an important component of geometric beauty and regularity in both natural and cultural scenes. Plants also display various geometric patterns with some kinds...     

Symmetry Breaking in Biology

Symmetry breaking is essential for cell movement, polarity, and developmental patterning. Amplification of initial asymmetry is key to the conserved mechanisms involved.Tyger! Tyger! burning bright
In the forests of the night,
What immortal hand or eye
Could frame thy fearful symmetry?
– William Blake     

On the Origins of Symmetry and Modularity in the Proteasome Family

The proteasome family of proteases comprises oligomeric assemblies of very different symmetry. In different sizes, it features ring‐like oligomers with dihedral symmetry that allow the stacking of further rings of regulatory subunits as observed in the modular proteasome system, but also less symmetric helical assemblies. Comprehensive sequence and structural analyses of proteasome homologs reveal a parsimonious scenario of how symmetry may have emerged from a monomeric ancestral precursor and how it may have evolved throughout the proteasome family. The four characterized representatives—ancestral β subunit (Anbu), HslV, betaproteobacterial proteasome homolog (BPH), and the 20S proteasome—are outlasting cornerstones in the family's evolutionary history, each marking a transition in symmetry. This article contextualizes the evolutionary and functional key aspects of these symmetry transitions, explaining how they facilitated the diversification and concurrent evolution of independent proteolytic systems side by side, each with its customized network of auxiliary interactors.     

Symmetry in thePisum seedling and growth regulators

The rather equal development of the two cotyledons determines the bilateral symmetry in the pea seedling, just as their unilateral position results in the dorsiventrality of the epicotyl and root. The morphogenic manifestation of the symmetry relations conditioned, in the first place, by a different distribution of auxin out of the cotyledons may be enhanced by means of exogenous growth regulators, particularly IAA, GA₃, and TIBA.