Related papers: Quantifying horizon dependence of asset prices: a …
The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
We discuss the statistical-mechanical entropy of black hole calculated according to 't Hooft. It is argued that in presence of horizon the statistical mechanics of quantum fields depends on their UV behavior. The ``brick wall'' model was…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
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…
This paper investigates the determinants of home prices in Dana Point, California to analyze various factors influencing the real estate market. The results are based on a cross-sectional dataset that incorporates year and month-time…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the model are derived with focus on the…
We evoke situations where large fluctuations in the entropy are induced, our main example being a spacetime containing a potential black hole whose formation depends on the outcome of a quantum mechanical event. We argue that the…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
Entanglement is a physical phenomenon that each state cannot be described individually. Entanglement entropy gives quantitative understanding to the entanglement. We use decomposition of the Hilbert space to discuss properties of the…
We describe society as a nonequilibrium probabilistic system: N individuals occupy W resource states in it and produce entropy S over definite time periods. Resulting thermodynamics is however unusual because a second entropy, H, measures a…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy…
In this paper we perform a statistical analysis over the returns and relative prices of the CAC $40$ and the S\&P $500$ with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do…
A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…
A given set of data-points in some feature space may be associated with a Schrodinger equation whose potential is determined by the data. This is known to lead to good clustering solutions. Here we extend this approach into a full-fledged…
We consider the relative configurational entropy per cell S_Delta as a measure of the degree of spatial disorder for systems of finite-sized objects. It is highly sensitive to deviations from the most spatially ordered reference…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…
Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In…