Related papers: Measuring switching processes in financial markets…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
Local shearing box simulations of stratified magneto rotational turbulence invariably exhibit cyclic field patterns which propagate away from the disc midplane. A common explanation for this is magnetic buoyancy. The recent analysis by Shi…
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{\star}$ which turns the dynamic asset allocation problem into a…
The scaling of fluctuations in the distribution of ground-state energies or costs with the system size N for Ising spin glasses is considered using an extensive set of simulations with the Extremal Optimization heuristic across a range of…
We study the off equilibrium dynamics of a mean field disordered systems which can be interpreted both as a long range interaction spin glass and as a particle in a random potential. The statics of this problem is well known and exhibits a…
By using numerical simulations we show that the 4D $J=\pm 1$ Edwards Anderson spin glass in magnetic field undergoes a mean field like phase transition. We use a dynamical approach: we simulate large lattices (of volume $V$) and work out…
We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…
There is broad empirical evidence of regime switching in financial markets. The transition between different market regimes is mirrored in correlation matrices, whose time-varying coefficients usually jump higher in highly volatile regimes,…
We study the ground state of the disordered Bose-Hubbard model for spin-1 particles by means of the stochastic mean-field theory. This approach enables the determination of the probability distributions of various physical quantities, such…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
The process of finding activated transitions in localized spin systems with continuous degrees of freedom is developed based on a magnetic variant of the Activation-Relaxation Technique (mART). In addition to the description of the method…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We study mean field systems whose free energy landscape is dominated by marginally stable states. We review and develop various techniques to describe such states, elucidating their physical meaning and the interrelation between them. In…