Related papers: Complex Systems: From Nuclear Physics to Financial…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
Modern physics has demonstrated that matter behaves very differently as it approaches the speed of light. This paper explores the implications of modern physics to the operation and regulation of financial markets. Information cannot move…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
A statistical analysis of the spectrum of two particle - two hole doorway states in a finite nucleus is performed. On the unperturbed mean-field level sizable attractive correlations are present in such a spectrum. Including particle-hole…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
We investigate quantum correlations in time in different approaches. We assume that temporal correlations should be treated in an even-handed manner with spatial correlations. We compare the pseudo-density matrix formalism with several…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
Precise understanding of the dynamics of trapped particles is crucial for nascent quantum technologies, including atomic clocks and quantum simulators. Here we present a framework to systematically include quantum effects arising from the…
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…
The collective motion of a finite nuclear system is investigated by numerical simulation and by linear response theory. Using a pseudo-particle simulation technique we analyze the giant resonances with a multipole decomposition scheme. We…
Great research efforts have been devoted to exploiting deep neural networks in stock prediction. While long-range dependencies and chaotic property are still two major issues that lower the performance of state-of-the-art deep learning…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
Understanding the dynamics of equilibration processes in quantum systems as well as their interplay with dissipation and fluctuation is a major challenge in quantum many-body theory. The timescales of such processes are investigated in…
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Dynamical systems in nature such as fluid flows, heart beat patterns, rainfall variability, stock market price fluctuations, etc. exhibit selfsimilar fractal fluctuations on all scales in space and time. Power spectral analyses of fractal…