Related papers: Financial Atoms and Molecules
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
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…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We extend the phase field crystal model to accommodate exact atomic configurations and vacancies by requiring the order parameter to be non-negative. The resulting theory dictates the number of atoms and describes the motion of each of…
Photonic molecules, named by analogy with chemical molecules, are clusters of closely located electromagnetically interacting microcavities or "photonic atoms". As two or several microcavities are brought close together, their optical modes…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
Increasing the number of particles in a system often leads to qualitative changes in its properties, such as breaking of symmetries and the appearance of phase transitions. This renders a macroscopic system fundamentally different from its…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particles and define the momentum measure of the system as a way to…
Analytical expressions for the elastic and dynamic form factors (FFs) are derived in the shell model (SM) with a potential well of finite depth. The consideration takes into account the motion of the target-nucleus center of mass (CM).…
Self-organization is the generation of order out of local interactions in non-equilibrium [1]. It is deeply connected to all fields of science from physics, chemistry to biology where functional living structures self-assemble[2] and…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…
Understanding the dynamical processes that govern the performance of functional materials is essential for the design of next generation materials to tackle global energy and environmental challenges. Many of these processes involve the…
Molecular crystals often exist in multiple competing polymorphs, showing significantly different physico-chemical properties. Computational crystal structure prediction is key to interpret and guide the search for the most stable or useful…