
FlockingMembers Members of the FinanceFlocking Group
Papers Should Network Structure Matter in AgentBased Finance? S. Alfarano and M. Milakovic Flocks, Herds, and Schools: A Distributed Behavior Model. C.W. Reynolds A Simple Model of Global Cascades on Random Networks. D. J. Watts Novel Type of Phase Transition in a System of SelfDriven Particles. T. Vicsek et. al. Tamas Vicsek 1995 Paper on Flocking Empirical properties of asset returns: stylized facts and statistical issues Maybe this can help us look for features and impact coefficients in news items. This also mentions the cyclic effects of news on stocks and stocks on news: Information sources, news, and rumors in financial markets: Insights into the foreign exchange market Other stuff Something interesting: Check out the links to Recognia on the page. They manually look for and announce about 50 patterns in market behavior. Chart game Model Here is a pdf for the formulas. Attach:model.pdf Code iGraph is an R/Python package that we can use to generate and display different types of social networks. Here is the link: http://cneurocvs.rmki.kfki.hu/igraph/documentation.html MATLAB Code for the BA algorithm http://webscripts.softpedia.com/script/ScientificEngineeringRuby/StatisticsandProbability/BAScaleFreeNetworkGenerationandVisualization35557.html Plots Plot of kernel density estimate for the mean estimate of the flock after 50 steps versus a kernel density estimate for the 5000 samples from the corresponding normal distribution. Plot of the mean estimate for the flock over 50 time steps Histogram of the joint (r(t+day,day),r(t,day)). A histogram of the number of returns at time t+day between (a,b] and the return was between (c,d] at time t. The ranges for the histogram was determined by finding percentiles of the data 0:1:100 Same as above except delta t = 5 min Same as above except delta t = 30 min 