Related papers: Anticorrelations and subdiffusion in financial sys…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
With the random matrix theory, we study the spatial structure of the Chinese stock market, American stock market and global market indices. After taking into account the signs of the components in the eigenvectors of the cross-correlation…
The present study is based on a recent success of the second-order stochastic fluctuation theory in describing time autocorrelations of equilibrium and nonequilibrium physical systems. In particular, it was shown to yield values of the…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
We investigate the statistical properties of fluctuations in active systems that are governed by non-symmetric responses. Both an underdamped Langevin system with an odd resistance tensor and an overdamped Langevin system with an odd…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different…
We discuss the well known Einstein and the Kubo Fluctuation Dissipation Relations (FDRs) in the wider framework of a generalized FDR for systems with a stationary probability distribution. A multi-variate linear Langevin model, which…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
The emerging system at the European level can be conceptualized as a pattern of relations among member states that tends to be reproduced despite disturbances in individual trajectories. The Markov property is used as an indicator of…
Many studies on biological and soft matter systems report the joint presence of a linear mean-squared displacement and a non-Gaussian probability density exhibiting, for instance, exponential or stretched-Gaussian tails. This phenomenon is…
Coupled oscillators are prevalent throughout the physical world. Dynamical system formulations of weakly coupled oscillator systems have proven effective at capturing the properties of real-world systems. However, these formulations usually…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…
We study the Langevin dynamics of diffusive particles with regular pairwise interactions under mean-field scaling. By approximating empirical distributions with conditional distributions, we establish coercive and contractive properties for…