Related papers: A statistical physics perspective on criticality i…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
Dow Jones Index time series exhibit irregular or fractal fluctuations on all time scales from days, months to years. The nonlinear fluctuations are selfsimilar as exhibited in inverse power law form for power spectra of temporal…
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
The Stock Market is a complex self-interacting system, characterized by an intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically about the possibility that…
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…
We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
We investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). The weaker links (low correlation) of the system are found to…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial…