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This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
Organisms and ecological groups accumulate evidence to make decisions. Classic experiments and theoretical studies have explored this process when the correct choice is fixed during each trial. However, we live in a constantly changing…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
We provide a new solution to the long-standing problem of inferring causality from observations without modeling the unknown mechanisms. We show that the evolution of any dynamical system is related to a predictive asymmetry that quantifies…
Culturomics was recently introduced as the application of high-throughput data collection and analysis to the study of human culture. Here we make use of this data by investigating fluctuations in yearly usage frequencies of specific words…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
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…
Determining changes in global temperature and precipitation that may indicate climate change is complicated by annual variations. One approach for finding potential climate change indicators is to train a model that predicts the year from…
The relationship between electricity demand and weather is well established in power systems, along with the importance of behavioral and social aspects such as holidays and significant events. This study explores the link between…
The increasing attention to environmental issues is forcing the implementation of novel energy models based on renewable sources, fundamentally changing the configuration of energy management and introducing new criticalities that are only…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
This paper studies the chaotic behavior of hydrosphere and its influence on global weather and climate. We give mathematical arguments for the sea surface temperature (SST) to be unpredictable over the global ocean. The impact of SST…
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…
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model…
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break…
Equity markets have long been regarded as unpredictable, with intraday price movements treated as stochastic noise. This study challenges that view by introducing the Extended Samuelson Model (ESM), a natural science-based framework that…