We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...

We present a model for the α-beauty contest that explains common patterns in ex-perimental data of one-shot and iterative games. The approach is based on two basic assumptions. First, players iteratively update their recent guesses. Second, players estimate intervals rather than exact numbers...

We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time...

The so-called “Guessing Game” or α-Beauty Contest serves as a paradigmatic conceptual framework for competitive price formation on financial markets beyond traditional equilibrium finance. It highlights features that are reasonable to consider when dealing with price formation on real...

We consider site percolation in a class of correlated random media derived from randomly bi-colored triangular lattices. Media are constructed due to specific state-dependent local constraints. Constraints destroy stochastic independence of elementary events and have specific impact on site...

On 2 November 2009, the Financial Bubble Experiment was launched within the Financial Crisis Observatory (FCO) at ETH Zurich (\url{http://www.er.ethz.ch/fco/}). In that initial report, we diagnosed and announced three bubbles on three different assets. In this latest release of 23 December 2009...

Stylized facts of empirical assets log-returns include the existence of semi heavy tailed distributions and a non-linear spectrum of Hurst exponents. Empirical data considered are daily prices from 10 large indices from 01/01/1990 to 12/31/2004. We propose a stylized model of price dynamics...