Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model

Kazuto Sasai; Yukio Pegio Gunji; Tetsuo Kinoshita

doi:10.1063/1.4992543

Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model

Kazuto Sasai^*, Yukio Pegio Gunji, Tetsuo Kinoshita

^*Corresponding author for this work

School of Fundamental Science and Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

Multi-agent models of robust open systems such as natural systems are the important theme in the literature of systems science. Heterarchy, which means dynamical hierarchy, is a structural model, which includes the dynamical interplay between different levels. However, it is not easy to build a formal model of a heterarchical system because the interplay between different levels lead a self-referential paradox. In this paper, we propose an continuous double auction model, which includes a formal model of conitnuous transaction. We encode the model into a restriction rule of the order submittion. The proposed model shows a critical behavior of the actual markets, and it can have the relationship with the behaviors of natural systems.

Original language	English
Title of host publication	International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016
Editors	Theodore E. Simos, Theodore E. Simos, Charalambos Tsitouras
Publisher	American Institute of Physics Inc.
ISBN (Electronic)	9780735415386
DOIs	https://doi.org/10.1063/1.4992543
Publication status	Published - 2017 Jul 21
Event	International Conference of Numerical Analysis and Applied Mathematics 2016, ICNAAM 2016 - Rhodes, Greece Duration: 2016 Sept 19 → 2016 Sept 25

Publication series

Name	AIP Conference Proceedings
Volume	1863
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Other

Other	International Conference of Numerical Analysis and Applied Mathematics 2016, ICNAAM 2016
Country/Territory	Greece
City	Rhodes
Period	16/9/19 → 16/9/25

ASJC Scopus subject areas

Physics and Astronomy(all)

Access to Document

10.1063/1.4992543

Cite this

Sasai, K., Gunji, Y. P., & Kinoshita, T. (2017). Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model. In T. E. Simos, T. E. Simos, & C. Tsitouras (Eds.), International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016 Article 360014 (AIP Conference Proceedings; Vol. 1863). American Institute of Physics Inc.. https://doi.org/10.1063/1.4992543

Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model. / Sasai, Kazuto; Gunji, Yukio Pegio; Kinoshita, Tetsuo.
International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016. ed. / Theodore E. Simos; Theodore E. Simos; Charalambos Tsitouras. American Institute of Physics Inc., 2017. 360014 (AIP Conference Proceedings; Vol. 1863).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Sasai, K, Gunji, YP & Kinoshita, T 2017, Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model. in TE Simos, TE Simos & C Tsitouras (eds), International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016., 360014, AIP Conference Proceedings, vol. 1863, American Institute of Physics Inc., International Conference of Numerical Analysis and Applied Mathematics 2016, ICNAAM 2016, Rhodes, Greece, 16/9/19. https://doi.org/10.1063/1.4992543

Sasai K, Gunji YP, Kinoshita T. Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model. In Simos TE, Simos TE, Tsitouras C, editors, International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016. American Institute of Physics Inc. 2017. 360014. (AIP Conference Proceedings). doi: 10.1063/1.4992543

Sasai, Kazuto ; Gunji, Yukio Pegio ; Kinoshita, Tetsuo. / Heterarcical market : Dynamical interplay between time and space in the continuous interaction in a market model. International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2016. editor / Theodore E. Simos ; Theodore E. Simos ; Charalambos Tsitouras. American Institute of Physics Inc., 2017. (AIP Conference Proceedings).

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AB - Multi-agent models of robust open systems such as natural systems are the important theme in the literature of systems science. Heterarchy, which means dynamical hierarchy, is a structural model, which includes the dynamical interplay between different levels. However, it is not easy to build a formal model of a heterarchical system because the interplay between different levels lead a self-referential paradox. In this paper, we propose an continuous double auction model, which includes a formal model of conitnuous transaction. We encode the model into a restriction rule of the order submittion. The proposed model shows a critical behavior of the actual markets, and it can have the relationship with the behaviors of natural systems.

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Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model

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