Related papers: Market dynamics after large financial crash
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
We introduce a mathematical model on the dynamics of demand and supply incorporating collectability and saturation factors. Our analysis shows that when the fluctuation of the determinants of demand and supply is strong enough, there is…
We consider an overdamped particle with a general physical mechanism that creates noisy active movement (e.g., a run-and-tumble particle or active Brownian particle etc.), that is confined by an external potential. Focusing on the limit in…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…
We consider the motion of an underdamped Brownian particle in a tilted periodic potential in a wide temperature range. Based on the previous data [1] and the new simulation results we show that the underdamped motion of particles in…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
Inertial effects in fluctuations of the work to sustain a system in a nonequilibrium steady state are discussed for a dragged massive Brownian particle model using a path integral approach. We calculate the work distribution function in the…
A dynamical system that undergoes a supercritical Hopf's bifurcation is perturbed by a multiplicative Brownian motion that scales with a small parameter $\epsilon$. The random fluctuations of the system at the critical point are studied…
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all…
The influence of small random perturbations on a deterministic dynamical system with a locally stable equilibrium is considered. The perturbed system is described by the It\^{o} stochastic differential equation. It is assumed that the noise…
Earthquakes are complex physical processes driven by the stick-slip motion of a sliding fault. After the main quake, a series of aftershocks typically follows. These are loosely defined as events that follow a given event and occur within…
There are insights of chaotic properties in economic systems and data. To prove the existence of chaotic dynamics, the establishment of a deterministic model is mandatory. A global modelling tool (GPoM) is used to search for mathematical…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account.…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
Brownian motion near soft surfaces is a situation widely encountered in nanoscale and biological physics. However, a complete theoretical description is lacking to date. Here, we theoretically investigate the dynamics of a two-dimensional…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…