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We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
In inhomogeneous cosmology, restricting attention to an irrotational dust matter model, backreaction arises in terms of the deviation of the averaged spatial scalar curvature from a constant-curvature model on some averaging domain $D$,…
We analyze the revenue loss due to market shrinkage. Specifically, consider a simple market with one item for sale and $n$ bidders whose values are drawn from some joint distribution. Suppose that the market shrinks as a single bidder…
In an earlier paper we had pointed out that Quantum Mechanical type effects are seen at different scales in the macro universe also. In this paper we obtain a rationale for this, which lies in the picture of bound material systems, spanning…
Structure occurs over a vast range of scales in the universe. Our large-scale cosmological models are coarse-grained representations of what exists, which have much less structure than there really is. An important problem for cosmology is…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…
This article looks at how inhomogeneous spacetime models may be significant for cosmology. First it looks at how the averaging process may affect large scale dynamics, with backreaction effects leading to effective contributions to the…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
We study how inhomogeneities of the cosmological fluid fields backreact on the homogeneous part of energy density and how they modify the Friedmann equations. In general, backreaction requires to go beyond the pressureless ideal fluid…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
This paper investigates the heterogeneous impacts of either Global or Local Investor Sentiments on stock returns. We study 10 industry sectors through the lens of 6 (so called) emerging countries: China, Brazil, India, Mexico, Indonesia and…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large…
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a…