Market shape formation, statistical equilibrium and neutral evolution theory
Sergey Sosnovskiy
TL;DR
This paper applies population genetics and exchangeability to model equity markets, explaining how market shapes form, reach equilibrium, and maintain stability over time using a Markov chain framework.
Contribution
It introduces a novel application of population genetics methods to model and analyze the stochastic behavior of equity markets.
Findings
Market shape formation explained by genetic models
Statistical equilibrium characterized in market dynamics
Temporal stability of market weights demonstrated
Abstract
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation, statistical equilibrium and temporal stability of market weights.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Evolutionary Game Theory and Cooperation