Related papers: On a universal mechanism for long ranged volatilit…

This paper is an original attempt to understand the foundations of economic reasoning. It endeavors to rigorously define the relationship between subjective interpretations and objective valuations of such interpretations in the context of…

In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…

To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…

We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…

We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…

We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…

In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…

We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model…

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…

This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its…

A minority game whose strategies are given by probabilities p, is replaced by a 'simplified' version that makes no use of memories at all. Numerical results show that the corresponding distribution functions are indistinguishable. A related…

We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…

The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…

Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…

We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term…

Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…

Understanding realistic complex systems requires confronting significant conceptual, theoretical and experimental limitations rooted in the persistence of views that originated in the mechanics of simple moving bodies. We define the…

There is available an ever-increasing variety of procedures for managing uncertainty. These methods are discussed in the literature of artificial intelligence, as well as in the literature of philosophy of science. Heretofore these methods…

We study the role of imitation within the Minority Game model of market. The players can exchange information locally, which leads to formation of groups which act as if they were single players. Coherent spatial areas of rich and poor…