Related papers: A statistical physics perspective on criticality i…
We present the clustering analysis of the financial markets of S&P 500 (USA) and Nikkei 225 (JPN) markets over a period of 2006-2019 as an example of a complex system. We investigate the statistical properties of correlation matrices…
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…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
Socio-technical systems, where technological and human elements interact in a goal-oriented manner, provide important functional support to our societies. Here we draw attention to the underappreciated concept of timeliness -- i.e., system…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Many systems in nature are conjectured to exist at a critical point, including the brain and earthquake faults. The primary reason for this conjecture is that the distribution of clusters (avalanches of firing neurons in the brain or…
This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
Many complex systems satisfy a set of constraints on their degrees of freedom, and at the same time, they are able to work and adapt to different conditions. Here, we describe the emergence of this ability in a simplified model in which the…
The objective of statistical physics is to understand macroscopic behavior of a many-body system from the interactions of the constituents of that system. When many-body systems reach critical states, simple universal and scaling behaviors…
Global climate change, extreme climate events, earthquakes and their accompanying natural disasters pose significant risks to humanity. Yet due to the nonlinear feedbacks, strategic interactions and complex structure of the Earth system,…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…