Related papers: Complex Systems: From Nuclear Physics to Financial…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…
Quantum correlation lies at the very heart of almost all the non-classical phenomena exhibited by quantum systems composed of more than one subsystem. In the recent days it has been pointed out that there exists quantum correlation, namely…
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…
The study of high energy collisions between heavy nuclei is a field unto itself, distinct from nuclear and particle physics. A defining aspect of heavy ion physics is the importance of a bulk, self-interacting system with a rich space-time…
In the transition from nuclear matter to finite nuclei, complex finite-size effects which characterise open systems arise, in relation with either the nuclear surface or the bulk. In addition, the non-equilibrium character of the process,…
The mechanism of collectivity coexisting with chaos in a finite system of strongly interacting fermions is investigated. The complex spectra are represented in the basis of two-particle two-hole states describing the nuclear double-charge…
Similarities between models of fragmenting nuclei and disordered systems in condensed matter suggest corresponding methods. Several theoretical models of fragmentation investigated in this fashion show marked differences, indicating…
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges.…
The authors review the evidence for the applicability of random--matrix theory to nuclear spectra. In analogy to systems with few degrees of freedom, one speaks of chaos (more accurately: quantum chaos) in nuclei whenever random--matrix…
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
We offer a systematic account of decomposition of quantum systems into parts. Different decompositions (structures) are mutually linked via the proper linear canonical transformations. Different kinds of structures, as well as their…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
The nuclear collective response is investigated in the framework of a doorway picture in which the spreading width of the collective motion is described as a coupling to more and more complex configurations. It is shown that this coupling…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…