Related papers: Complex Systems: From Nuclear Physics to Financial…
We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…
The presence of energy shells in metallic clusters and atomic nuclei leads to a peculiar relation between the number of particles N and the structure, and this leads to a strong correlation between the energy spectrum and N. An analysis of…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
Recent theoretical work on the role of microscopic chaos in the dynamics and relaxation of many-body quantum systems has made several experimentally confirmed predictions about the systems of interacting nuclear spins in solids, focusing,…
This is a short letter summarizing the long paper cond-mat/0106047 in which we present a simple two-dimensional dynamical system reaching a singularity in finite time decorated by accelerating oscillations due to the interplay between…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Complexity in materials often arises from competing interactions at the atomic length scale. One such example are the strongly correlated heavy-fermion materials where the competition between Kondo screening and antiferromagnetic ordering…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the…
We study the relationship between topological scales and dynamic time scales in complex networks. The analysis is based on the full dynamics towards synchronization of a system of coupled oscillators. In the synchronization process, modular…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
The concept of structural invariance previously introduced by the authors is used to argue that the connection between random matrix theory and quantum systems with a chaotic classical counterpart is in fact largely exact in the…
This article is the written version of a talk delivered at the Bexbach Colloquium of Science 2000 and starts with an introduction into quantum chaos and its relationship to classical chaos. The Bohigas-Giannoni-Schmit conjecture is…
We study the effect of a weak random additive noise in a linear chain of N locally-coupled logistic maps at the edge of chaos. Maps tend to synchronize for a strong enough coupling, but if a weak noise is added, very intermittent…