Elongated self-propelled particles roaming a closed arena present financial stylized facts

PATTERSON, GERMÁN A.; PARISI, DANIEL R.

Buenos Aires

Conferencia; StatPhys 27; 2019

Financial stylized facts are the common statistical properties that can be found in different studies of markets and instruments. Although they are qualitative properties, stylized facts are difficult to find in synthetic stochastic processes generated by financial models. Interestingly, it has be shown that the counterflow of simulated pedestrians with decision-making capacity through a door presents several of the stylized facts observed in financial markets.In this work, we present results of experiments carried out with vehicles driven by vibration. The system under study comprises two closed regions linked by a narrow opening and a set of elongated self-propelled agents that are internally excited by an unsynchronized stochastic force. We study the temporal evolution of the density of particles around the opening and make a statistical comparison with the price evolution of bitcoin. We report several analogies and differences between these systems by measuring various statistical properties of the return of the market price and its correspondence of the mechanical system. Interestingly, for the chosen experimental conditions, we find that the time series of density shares several of the stylized facts found in financial series, such as the bitcoin price, even for particles that do not have the possibility of making decisions.