Related papers: Symmetry Breaking in Stock Demand
We assume that the energy spectrum of a chaotic system undergoing symmetry breaking transitions can be represented as a superposition of independent level sequences, one increasing on the expense of the others. The relation between the…
The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of…
Complex interactions leading to phase transitions continue to hold a due interest in the scientific community. We charactersize a phase transition in a coupled oscillators model where interactions are not local in nature. At a first order…
We investigate the parity- and time-reversal ($\mathcal{PT}$)-symmetry breaking in lattice models in the presence of long-ranged, non-hermitian, $\mathcal{PT}$-symmetric potentials that remain finite or become divergent in the continuum…
The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
We present a numerical study of a two-lane version of the stochastic non-equilibrium model known as the totally asymmetric simple exclusion process. For such a system with open boundaries, and suitably chosen values of externally-imposed…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
We confirm and substantially extend the recent empirical result of Andersen et al. \cite{Andersen2015}, where it is shown that the amount of risk $W$ exchanged in the E-mini S\&P futures market (i.e. price times volume times volatility)…
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…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
The dynamics of a symmetry breaking phase transition is studied in a radiation and matter dominated spatially flat FRW cosmology in the large N limit of a scalar field theory.The quantum density matrix is evolved from an initial state of…
Spontaneous symmetry breaking is well understood under equilibrium conditions as a consequence of the singularity of the thermodynamic limit. How a single global orientation of the order parameter dynamically emerges from an initially…
In this brief report we adress spontaneous symmetry breaking in a finite-temperature scalar meson plasma. We calculate the in-medium averaged thermal $\sigma-\sigma$ scattering crossection and the related shear viscosity $\eta(T)$ and…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Scale free dynamics are observed in a variety of physical and biological systems. These include neural activity in which evidence for scale freeness has been reported using a range of imaging modalities. Here, we derive the ways in which…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
We present an example where Spontaneous Symmetry Breaking may effect not only the behavior of the entanglement at Quantum Phase Transitions, but also the origin of the non-analyticity. In particular, in the XXZ model, we study the non…