Related papers: Market Dynamics of Information Avalanches
Sand pile models are dynamical systems emphasizing the phenomenon of Self Organized Criticality (SOC). From N stacked grains, iterating evolution rules leads to some critical configuration where a small disturbance has deep consequences on…
In this paper we analyze how market prices change in response to information processing among the market participants and how non-linear information dynamics drive market price movement. We analyze historical data of the SP 500 market for…
The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…
Avalanches are rapid cascades of rearrangements driven by cooperative flipping of hysteretic local elements. Here we show that flipping dynamics and race conditions -- where multiple elements become unstable simultaneously -- give rise to…
Self-organizing system is studied whose behavior is governed by field of an order parameter, a fluctuation amplitude of conjugate field and a couple of Grassmannian conjugated fields that define the entropy as a control parameter. Within…
We introduce a simple model for the size distribution of avalanches based on the idea that the front of an avalanche can be described by a directed random walk. The model captures some of the qualitative features of earthquakes, avalanches…
A dynamical transition separating intermittent and continuous flow is observed in a sandpile model, with scaling functions relating the transport behaviors between both regimes. The width of the active zone diverges with system size in the…
The dynamics of complex systems in nature often occurs in terms of punctuations, or avalanches, rather than following a smooth, gradual path. A comprehensive theory of avalanche dynamics in models of growth, interface depinning, and…
A simple model for an interface moving in a disordered medium is presented. The model exhibits a transition between the two universality classes of interface growth phenomena. Using this model, it is shown that the application of…
The dynamics of a fibre-bundle type model with equal load sharing rule is numerically studied. The system, formed by N elements, is driven by a slow increase of the load upon it which is removed in a novel way through internal transfers to…
The abelian sandpile model in two dimensions does not show the type of critical behavior familar from equilibrium systems. Rather, the properties of the stationary state follow from the condition that an avalanche started at a distance r…
Large scale computer simulations are presented to investigate the avalanche statistics of sand piles using molecular dynamics. We could show that different methods of measurement lead to contradicting conclusions, presumably due to…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
We introduce a simple one-dimensional sandpile model that undergoes relaxation oscillations. A single model can account for self-organized critical behavior and relaxation oscillations, depending on the manner in which it is driven,…
The information released to investors in financial markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of a risky asset may reach in the future. This study develops…
We use a discrete-time formulation to study the asymmetric avalanche process [Phys. Rev. Lett. vol. 87, 084301 (2001)] on a finite ring and obtain an exact expression for the average avalanche size of particles as a function of toppling…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
Financial markets exhibit complex dynamics where localized events trigger ripple effects across entities. Previous event studies, constrained by static single-company analyses and simplistic assumptions, fail to capture these ripple…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…