Related papers: Fractal Properties in Economics
The factorial moments analyses are performed to study the scaling properties of the dynamical fluctuations of contacts and nodes in temporal networks based on empirical data sets. The intermittent behaviors are observed in the fluctuations…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
We review the present status of our research and understanding regarding the dynamics and the statistical properties of earthquakes, mainly from a statistical physical viewpoint. Emphasis is put both on the physics of friction and fracture,…
We theoretically and numerically demonstrate that completely integrable scattering processes may exhibit fractal transmission fluctuations, due to typical spectral properties of integrable systems. Similar properties also occur with…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
The fluctuations in nonequilibrium systems are under intense theoretical and experimental investigation. Topical ``fluctuation relations'' describe symmetries of the statistical properties of certain observables, in a variety of models and…
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…
In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…
To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law distributions. It has many advantages, among which…
There are three important types of structural properties that remain unchanged under the structural transformation of condensed matter physics and chemistry. They are the properties that remain unchanged under the structural periodic…
Experimental data are presented on particle correlations and fluctuations in various high-energy multiparticle collisions, with special emphasis on evidence for scaling-law evolution in small phase-space domains. The notions of…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
A two-state master equation based decision making model has been shown to generate phase transitions, to be topologically complex and to manifest temporal complexity through an inverse power-law probability distribution function in the…
The temporal evolution of mechanical energy and spatially-averaged crack speed are both monitored in slowly fracturing artificial rocks. Both signals display an irregular burst-like dynamics, with power-law distributed fluctuations spanning…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…