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Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved so they can be applied in applications such as optimal…
Machine learning models are increasingly used in a wide variety of financial settings. The difficulty of understanding the inner workings of these systems, combined with their wide applicability, has the potential to lead to significant new…
We review some collider phenomenology of unparticle physics, including real emissions and virtual exchanges of unparticle. Existing experimental constraints from collider physics as well as astrophysics are briefly discussed.
We look over recent developments on our understanding about relativistic matter under external electromagnetic fields and mechanical rotation. I review various calculational approaches for concrete physics problems, putting my special…
Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the cointegrating relationships and examine…
Recent results from cosmic microwave background (CMB) experiments verify several of the predictions of inflation, while ruling out a number of alternative structure-formation scenarios. Given the successes of the theory, the obvious next…
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
Mnay models situated in the current research landscape of modelling and simulating social processes have roots in physics. This is visible in the name of specialties as Econophysics or Sociophysics. This chapter describes the history of…
Several theoretical results concerning event-by-event fluctuations are discussed: (1) a role of the global conservation laws and concept of statistical ensembles; (2) strongly intensive measures are introduced; they give a possibility to…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top of that, the trend of the future costs of the environmental…
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research…