Related papers: On the Connection between Temperature and Volatili…
This study presents a novel approach to modelling economic agents as analogous to spin states in physics, particularly the Ising model. By associating economic activity with spin orientations (up for inactivity, down for activity), the…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect…
We show that when the thermal wavelength is comparable to the spatial size of a system, thermodynamic observables like Pressure and Volume have quantum fluctuations that cannot be ignored. They are now represented by operators; conventional…
Using detrended fluctuation analysis (DFA), we study the scaling properties of the volatility time series $V_i=| T_{i+1}-T_i|$ of daily temperatures $T_i$ for ten chosen sites around the globe. We find that the volatility is long range…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
An exact expression for the spin-spin correlation function is derived for the zero-temperature random-field Ising model defined on a Bethe lattice of arbitrary coordination number. The correlation length describing dynamic spin-spin…
The climate system is a forced, dissipative, nonlinear, complex and heterogeneous system that is out of thermodynamic equilibrium. The system exhibits natural variability on many scales of motion, in time as well as space, and it is subject…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
Equilibrium thermodynamics describes the energy exchange of a body with its environment. Here, we describe the global energy exchange of an ideal gas in the Coutte flow in a thermodynamic-like manner. We derive a fundamental relation…
This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: $dX_t=a_tdt+\sigma_tdW_t$, where $X$ denotes the log-price and $\sigma$ is a c\`adl\`ag semi-martingale. In the…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
We extend the Exchange Fluctuation Theorem for energy exchange between thermal quantum systems beyond the assumption of molecular chaos, and describe the non-equilibrium exchange dynamics of correlated quantum states. The relation…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We propose a theory based on simple physical arguments that describes a non equilibrium steady-state by a temperature-like parameter (an "effective temperature"). We show how one can predict the effective temperature as a function of the…
The excited state thermodynamic Bethe ansatz (TBA) equations for the spinless Fermion model are presented by the quantum transfer matrix (QTM) approach. We introduce a more general family called T-functions and explore functional relations…
The article is devoted to the issues of using discrete simulation models for modeling some basic technological processes. In the scientific work, models in the form of multi-agent systems have been investigated, which allow us to consider a…
Interactions between a quantum system and its environment at low temperatures can lead to violations of thermal laws for the system. The source of these violations is the entanglement between system and environment, which prevents the…
Out of thermal equilibrium, an environment imposes effective mechanical forces on microscopical nanofabricated devices, chemical or biological systems. Here we address the question of how to calculate these forces together with the response…