Related papers: Self-similar approach to market analysis
The ambitious and ultimate research purpose in Systems Biology is the understanding and modelling of the cell's system. Although a vast number of models have been developed in order to extract biological knowledge from complex systems…
Data Science and Machine learning have been growing strong for the past decade. We argue that to make the most of this exciting field we should resist the temptation of assuming that forecasting can be reduced to brute-force data analytics.…
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…
Traditional time series analysis has long relied on pattern recognition, trained on static and well-established benchmarks. However, in real-world settings -- where policies shift, human behavior adapts, and unexpected events unfold --…
In statistical and nonlinear systems, two qualitatively distinct parameter regions are typically identified: the regular region, characterized by smooth behavior of key quantities, and the critical region, where these quantities exhibit…
This paper proposes a systems theory approach to the modeling of onset and evolution of criminality in a territory, which aims at capturing the complexity features of social systems. Complexity is related to the fact that individuals have…
Computer modelling for evolutionary systems consists in: 1) to store in the memory the individual features of each member of a large population; and 2) to update the whole system repeatedly, as time goes by, according to some prescribed…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
We study spectral densities for systems on lattices, which, at a phase transition display, power-law spatial correlations. Constructing the spatial correlation matrix we prove that its eigenvalue density shows a power law that can be…
The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Dynamics of complex systems is studied by first considering a chaotic time series generated by Lorenz equations and adding noise to it. The trend (smooth behavior) is separated from fluctuations at different scales using wavelet analysis…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
The review presents the development of an approach of constructing approximate solutions to complicated physics problems, starting from asymptotic series, through optimized perturbation theory, to self-similar approximation theory. The…
Complex Systems were identified and studied in different fields, such as physics, biology, and economics. These systems exhibit exciting properties such as self-organization, robust order, and emergence. In recent years, software systems…
Time evolution of the classification scheme generated by the EqRank algorithm is studied with hep-th citation graph as an example. Intuitive expectations about evolution of an adequate classification scheme for a growing set of objects are…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Mining Time Series data has a tremendous growth of interest in today's world. To provide an indication various implementations are studied and summarized to identify the different problems in existing applications. Clustering time series is…
We develop a ``unified'' model that describes both ``micro'' and ``macro'' evolutions within a single theoretical framework. The eco-system is described as a dynamic network; the population dynamics at each node of this network describes…
Evolutionary game theory has been successfully used to investigate the dynamics of systems, in which many entities have competitive interactions. From a physics point of view, it is interesting to study conditions under which a coordination…