Related papers: Finance from the viewpoint of physics
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…
The basic mathematical properties of Green's functions used in statistical mechanics as well as the equations defining these functions and the techniques of solving these equations are reviewed. An approach is presented called the…
The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
The reduction formulas for Dirac fermions are derived, using the exact solutions of free Dirac equation on de Sitter spacetime. In the framework of the perturbation theory one studies the Green functions and derive the scatering amplitude…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
This article has one single purpose: introduce a new and simple, yet highly insightful approach to capture, fully and quantitatively, the dynamics of the circular flow of income in economies. The proposed approach relies mostly on basic…
Based on the closed time path formalism, a new Feynman rule for directly calculating the retarded and advanced Green functions is deduced. This Feynman rule is used to calculate the two-point self-energy and three-point vertex correction in…
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and…
Physics and economics are two disciplines that share the common challenge of linking microscopic and macroscopic behaviors. However, while physics is based on collective dynamics, economics is based on individual choices. This conceptual…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first…
This primer is intended as an introduction to differential forms, a central object in modern mathematical physics, for scientists and engineers.
A short review of basic formulas from Hamiltonian formalism in classical mechanics in the case when Lagrangian contains N time-derivatives of n coordinate variables. For non-local models N=infinity.
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
The friction force is derived using fractional calculus by considering the non-uniform flow of time in dissipative processes. The approach incorporates inhomogeneous velocity without unphysical approximations, resulting in a Lagrangian…
Stochastic control problems in finance often involve complex controls at discrete times. As a result numerically solving such problems, for example using methods based on partial differential or integro-differential equations, inevitably…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…