Related papers: Power-law cross-correlations: Issues, solutions an…
The lead-lag relationship plays a vital role in financial markets. It is the phenomenon where a certain price-series lags behind and partially replicates the movement of leading time-series. The present research proposes a new technique…
Power-law inflation has stood as a classical model in inflationary cosmology since the early 1980s, prized for its exact analytical solutions and ability to naturally resolve the Big Bang theory's horizon and flatness problems through…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
Measures of linear dependence (coherence) and nonlinear dependence (phase synchronization) between any number of multivariate time series are defined. The measures are expressed as the sum of lagged dependence and instantaneous dependence.…
Physics research complements traditional approaches, such as mathematical (stochastic) finance and econometrics in quantitative economics and finance. In the early years of this millennium, we embarked on an interdisciplinary research…
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…
Reinforcement Learning (RL) has experienced significant advancement over the past decade, prompting a growing interest in applications within finance. This survey critically evaluates 167 publications, exploring diverse RL applications and…
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate…
Non-equilibrium diffusive systems are known to exhibit long-range correlations, which decay like the inverse 1/L of the system size L in one dimension. Here, taking the example of the ABC model, we show that this size dependence becomes…
We derive the covariant equations of motion for Maxwell field theory and electrodynamics in multiscale spacetimes with weighted Laplacian. An effective spacetime-dependent electric charge of geometric origin naturally emerges from the…
By the early 1960's advances in statistical physics had established the existence of universality classes for systems with second-order phase transitions and characterized these by critical exponents which are different to the classical…
This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes--S\&P 500, Dow Jones, and Nasdaq--at daily, weekly, and monthly frequencies. We…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
Future electricity consumption is fundamentally uncertain and dependent on many variables such as economic activity, weather, electricity rates and demand side management. The stochasticity of system load as well as power generation from…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
This book chapter illustrates how to apply extreme value statistics to financial time series data. Such data often exhibits strong serial dependence, which complicates assessment of tail risks. We discuss the two main approches to tail risk…
The paper starts with a brief review of present understanding of income distributions; especially with regard to recent work in the field of econophysics that draws parallels between income, wealth and energy distributions. Examples of…