Related papers: Methods in Econophysics: Estimating the Probabilit…
Entropy has emerged as a dynamic, interdisciplinary, and widely accepted quantitative measure of uncertainty across different disciplines. A unified understanding of entropy measures, supported by a detailed review of their theoretical…
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
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…
The development of Econophysics is studied from the perspective of scientific communication networks. Papers in Econophysics published from 1992 to 2003 are collected. Then a weighted and directed network of scientific communication,…
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and…
Inferring models, predicting the future, and estimating the entropy rate of discrete-time, discrete-event processes is well-worn ground. However, a much broader class of discrete-event processes operates in continuous-time. Here, we provide…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…
In this article we study the problem of quantifying the uncertainty in an experiment with a technical system. We propose new density estimates which combine observed data of the technical system and simulated data from an (imperfect)…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…
In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Malliavin and M.E. Mancino can be understood in a unified way by…
We discuss the relevance of studying ecology within the framework of Complexity Science from a statistical mechanics approach. Ecology is concerned with understanding how systems level properties emerge out of the multitude of interactions…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic…
Knowing and modelling the migration phenomena and especially the social and economic consequences have a theoretical and practical importance, being related to their consequences for development, economic progress (or as appropriate,…
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…
We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…