Related papers: Market structure explained by pairwise interaction…

We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…

In the last decade, stochastic models have shown to be very useful for quantitative modelling of social processes. Here, a configurational master equation for the description of behavioral changes by pair interactions of individuals is…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…

Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…

The sustainability conditions for the market participants with a different ownership model were also determined. It was revealed, that the nonlinear form of the equations describing the market behavior with the prevailing private capital,…

Statistical mechanics of a disordered system of cars on a single-lane road is developed. Behaviour of cars is defined by conditional probability of car velocity depending on the distance and velocity of the car ahead. A system consisting of…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

We consider a network of sellers, each selling a single product, where the graph structure represents pair-wise complementarities between products. We study how the network structure affects revenue and social welfare of equilibria of the…

Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…

A simple spin model is studied, motivated by the dynamics of traders in a market where expectation bubbles and crashes occur. The dynamics is governed by interactions which are frustrated across different scales: While ferromagnetic…

This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…

Although ubiquitous, interactions of groups of individuals (e.g., modern messaging applications, group meetings, or even a parliament discussion) are not yet thoroughly studied. Frequently, single-groups are modeled as critical-mass…

In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…

Financial markets exhibit complex dynamics where localized events trigger ripple effects across entities. Previous event studies, constrained by static single-company analyses and simplistic assumptions, fail to capture these ripple…

In order to analyze the effect of chaos or order on the rate of decoherence in a subsystem, we aim to distinguish effects of the two types of dynamics by choosing initial states as random product states from two factor spaces representing…

Networks are a widely used and efficient paradigm to model real-world systems where basic units interact pairwise. Many body interactions are often at play, and cannot be modelled by resorting to binary exchanges. In this work, we consider…

The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…