Related papers: Econophysics: Comments on a few Applications, Succ…
We first describe a general class of optimization problems that describe many natural, economic, and statistical phenomena. After noting the existence of a conserved quantity in a transformed coordinate system, we outline several instances…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work…
The problem of error growth due to the incomplete knowledge of the evolution law which rules the dynamics of a given physical system is addressed. Major interest is devoted to the analysis of error amplification in systems with many…
In an informal way, a number of thoughts on the financial crisis 2008 are presented from a physicist's viewpoint, considering the problem as a nonergodicity transition of a spin-glass type of system. Some tentative suggestions concerning…
Topological data analysis has been acknowledged as one of the most successful mathematical data analytic methodologies in various fields including medicine, genetics, and image analysis. In this paper, we explore the potential of this…
The leading account of several salient observable features of our universe today is provided by the theory of cosmic inflation. But an important and thus far intractable question is whether inflation is generic, or whether it is finely…
In the same way as the Hilbert Program was a response to the foundational crisis of mathematics, this article tries to formulate a research program for the socio-economic sciences. The aim of this contribution is to stimulate research in…
These are intended to be review notes on emergent symmetries, i.e., symmetries which manifest themselves in specific sectors of energy in many systems. The emphasis is on the physical aspects rather than computation methods. We include some…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
There has recently been growing interest in the development of financial storage rights for energy storage systems as instruments akin to their transmission counterparts as a means to not only distribute congestion rents, but also to…
Research activities of Kyoto Econophysics Group is reviewed. Strong emphasis has been placed on real economy. While the initial stage of research was a first high-definition data analysis on personal income, it soon progressed to firm…
The recent energy crisis starting in 2021 led to record-high gas, coal, carbon and power prices, with electricity reaching up to 40 times the pre-crisis average. This had dramatic consequences for operational and risk management prompting…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
This mathematical essay brings together ideas from Economics, Geobiodynamics and Thermodynamics. Its purpose is to obtain real models of complex evolutionary systems. More specifically, the essay defines Roegenian Economy and links…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the…
Our society has been computerised and globalised due to emergence and spread of information and communication technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…