Related papers: Research in Econophysics
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
This is a survey article to be part of the Encyclopedia of Mathematical Physics, to be published by Elsevier in the beginning of 2006.
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…
This editorial opens the special issues that the Journal of Statistical Physics has dedicated to the growing field of statistical physics modeling of social dynamics. The issues include contributions from physicists and social scientists,…
We survey recent results on the mathematical stability of Bitcoin protocol. Profitability and probability of a double spend are estimated in closed form with classical special functions. The stability of Bitcoin mining rules is analyzed and…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
The present investigation is dedicated to study of physical basis of macroscopic fluctuations effect. In particular experimental investigation of possible influence of rapidly spinning massive body on distribution function of the…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of…
Efficient networking has a substantial economic and societal impact in a broad range of areas including transportation systems, wired and wireless communications and a range of Internet applications. As transportation and communication…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
In the concluding session of the Joint International Conference titled Econophys-2017 and Asia Pacific Econophysics Conference (APEC)-2017, held in Jawaharlal Nehru University and Delhi University during November 15-18, 2017, a brief…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
This anniversary paper is an occasion to recall some of the events that shaped institutional econophysics. But in these thoughts about the evolution of econophysics in the last 15 years we also express some concerns. Our main worry concerns…
This paper is concerned with complex macroscopic behaviour arising in many-body systems through the combinations of competitive interactions and disorder, even with simple ingredients at the microscopic level. It attempts to indicate and…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
These are notes for a mini-course of 3 lectures given at the St. Petersburg School in Probability and Statistical Physics (June 2012). My aim was to explain, on the example of a particular model, how ideas from the representation theory of…