Related papers: Financial Atoms and Molecules
We study the collective behaviour of an ensemble of coupled motile elements whose interactions depend on time and are alternatively attractive or repulsive. The evolution of interactions is driven by individual internal variables with…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
We discuss the dynamics of finite systems within molecular dynamics models. Signatures of a critical behavior are analyzed and compared to experimental data both in nucleus-nucleus and metallic cluster collisions. We suggest the possibility…
We present a review of recent works on clustering phenomena in unstable nuclei studied by antisymmetrized molecular dynamics (AMD). The AMD studies in these decades have uncovered novel types of clustering phenomena brought about by the…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy…
Quantum Monte Carlo approaches based on the stochastic sampling of the determinant space have evolved to be powerful methods to compute the electronic states of molecules. These methods not only calculate the correlation energy at an…
To study the dynamics of chemical processes, we often adopt rate equations to observe the change in chemical concentrations. However, when the number of the molecules is small, the fluctuations cannot be neglected. We often study the…
Nucleation is the onset of a first-order phase transition by which a metastable phase transforms into a more stable one. Such a phase transition occurs when an initial system initially in equilibrium is destabilized by the change of an…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
Recently, it was shown that a theoretical description of nucleation based on fluctuating hydrodynamics and classical density functional theory can be used to determine non-classical nucleation pathways for crystallization (Lutsko, Sci. Adv.…
It has long been believed that the atomic dynamics in disordered structures, such as undercooled liquids and pre-melted interfaces, are characterized by collective atomic rearrangements in the form of quasi-one-dimensional chains of atomic…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually…
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that the stochastic differential equations…
All-atom simulations can provide molecular-level insights into the dynamics of gas-phase, condensed-phase and surface processes. One important requirement is a sufficiently realistic and detailed description of the underlying intermolecular…