Related papers: Complex Systems: From Nuclear Physics to Financial…
The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
This note focuses on the optimization of neural architectures for stock index movement forecasting following a major market disruption or crisis. Given that such crises may introduce a shift in market dynamics, this study aims to…
Topological Data Analysis (TDA) is increasingly crucial in investigating the shape of complex data structures across scientific fields, particularly in neuroscience and finance. This study delves into persistent homology, a TDA component…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in financial markets. We construct a structural multi-agent…
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…
With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time period between January 2001 and October…
The production process of integrated electronic circuitry inherently leads to large heterogeneities on the component level. For electronic clock networks this implies detuned intrinsic frequencies and differences in coupling strength and…
The theory of nuclear excitations involving nucleon resonances is revisited and significantly extended to asymmetric nuclear matter and higher P- and S-wave $N^*$ resonances. Excited states of are described as superpositions of…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency trading data, which are of a particular interest in finance.…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
Magnetic resonance studies of nuclear spins in solids are exceptionally well suited to probe the limits of statistical physics. We report experimental results indicating that isolated macroscopic systems of interacting nuclear spins possess…
Synchronization commonly occurs in many natural and man-made systems, from neurons in the brain to cardiac cells to power grids to Josephson junction arrays. Transitions to or out of synchrony for coupled oscillators depend on several…
We propose a general approach to characterise fluctuations of measured cross sections of nuclear giant resonances. Simulated cross sections are obtained from a particular, yet representative self-energy which contains all information about…
We investigate entanglement between electronic and nuclear degrees of freedom for a model nonadiabatic system. We find that entanglement (measured by the von Neumann entropy of the subsystem for the eigenstates) is large in a statistical…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…