Related papers: Fractal Properties in Economics
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…
Dynamical systems in nature such as fluid flows, heart beat patterns, rainfall variability, stock market price fluctuations, etc. exhibit selfsimilar fractal fluctuations on all scales in space and time. Power spectral analyses of fractal…
The relation between critical exponents, characterizing a continuous phase transition, and the fractal structure of physical lines, proliferating at the critical point, is established by considering the two-dimensional O($N$) spin model for…
We apply the Principle of Maximum Entropy to the study of a general class of deterministic fractal sets. The scaling laws peculiar to these objects are accounted for by means of a constraint concerning the average content of information in…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
Fractals are self-similar recursive structures that have been used in modeling several real world processes. In this work we study how "fractal-like" processes arise in a prediction game where an adversary is generating a sequence of bits…
Strong violations of existing fluctuation theorems may arise in nonequilibrium steady states characterized by distributions with power-law tails. The ratio of the probabilities of positive and negative fluctuations of equal magnitude…
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…
Using numerical simulations and scaling theory we study the dynamics of the world-wide Web from the growth rules recently proposed in Ref. [1] with appropriate parameters. We demonstrate that the emergence of power-law behavior of the out-…
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…
In this article we investigate the energy spectrum statistics of fractals at the quantum level. We show that the energy-level distribution of a fractal follows a power-law behaviour, if its energy spectrum is a limit set of piece-wise…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
We derive the fluctuation theorem for quantum-state statistics that can be obtained when we initially measure the total energy of a quantum system at thermal equilibrium, let the system evolve unitarily, and record the quantum-state data…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…