Related papers: Symmetry Breaking in Stock Demand
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
Spontaneous symmetry breaking is a phenomenon of an alteration of a state symmetry without a change in the system symmetry. A transition from a state with unbroken symmetry to a state with broken symmetry leads to a qualitative change in…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
We derive the critical behavior of a CA traffic flow model using an order parameter breaking the symmetry of the jam-free phase. Random braking appears to be the symmetry-breaking field conjugate to the order parameter. For $v_{\max}=2$, we…
In this work we investigate symmetry breaking in the presence of a turbulent environment. The transition from a symmetric state to a symmetry-breaking state is demonstrated using two examples: (i) the transition of a two-dimensional flow to…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by 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…
The phenomenon of PT (parity- and time-reversal) symmetry breaking is conventionally associated with a change in the complex mode spectrum of a non-Hermitian system that marks a transition from a purely oscillatory to an exponentially…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
The use in the action integral of totally divergent densities in generally coordinate invariant theories can lead to interesting mechanisms of spontaneous symmetry breaking of scale invariance. With dependence in the action on a metric…
This letter investigates the molecular dynamics of inelastic disks without external forcing. By introducing a new observation frame with a rescaled time, we observe the virtual steady states converted from asymptotic energy dissipation…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Scale invariance is a central organizing principle in physics, underlying phenomena that range from critical behaviour in statistical mechanics to transport and chaos in nonlinear dynamical systems. Here we present a unified and physically…
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
Topological phase transitions are typically associated with the formation of gapless states. Spontaneous symmetry breaking can lead to a gap opening thereby obliterating the topological nature of the system. Here we highlight a completely…