Related papers: Power-law cross-correlations: Issues, solutions an…
Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market…
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on economic space. Aggregates of economic…
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…
Continuous-time series is essential for different modern application areas, e.g. healthcare, automobile, energy, finance, Internet of things (IoT) and other related areas. Different application needs to process as well as analyse a massive…
This note outlines an approach to stress testing of covariance of financial time series, in the context of financial risk management. It discusses how the geodesic distance between covariance matrices implies a notion of plausibility of…
We briefly review 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 agents…
It is demonstrated that power-laws which are modified by logarithmic corrections arise in supercorrelated systems. Their characteristic feature is the energy attributed to a state (or value of a general cost function) which depends…
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different…
We review ideas on temporal dependences and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the relevant observables in the language of copulas (joint laws of…
The author solves two problems: formation of object of econophysics, creation of the general theory of financial-economic monitoring. In the first problem he studied two fundamental tasks: a choice of conceptual model and creation of…
Estimating large covariance and precision matrices are fundamental in modern multivariate analysis. The problems arise from statistical analysis of large panel economics and finance data. The covariance matrix reveals marginal correlations…
Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…
Power law is one of the the simplest forms of the relationship between different variables of a system. It leads naturally to the introduction of compound parameters describing physical properties of the system. Often one of the variables…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled…