Related papers: Note on two phase phenomena in financial markets
Atoms and molecules are important conceptual entities we invented to understand the physical world around us. The key to their usefulness lies in the organization of nuclear and electronic degrees of freedom into a single dynamical variable…
We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
What happens when a continuously evolving stochastic process is interrupted with large changes at random intervals $\tau$ distributed as a power-law $\sim \tau^{-(1+\alpha)};\alpha>0$? Modeling the stochastic process by diffusion and the…
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments…
Spin relaxation in a strong-coupling regime (with respect to the spin system) is investigated in detail based on the spin-boson model in a stochastic limit. We find a bifurcation phenomenon in temperature dependence of relaxation constants,…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different…
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…