Related papers: The US 2000-2003 Market Descent: Clarifications
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
There had been previous successful explanations of Quantum Mechanics using the popular Copenhagen interpretation. In this paper,we build an equivalent mathematical structure of Copenhagen Interpretation from the Electromagnetic Field Theory…
An advection--diffusion-limited dissolution model of an object being eroded by a two-dimensional potential flow is presented. By taking advantage of the conformal invariance of the model, a numerical method is introduced that tracks the…
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data…
Some of the so-called imponderables and counterintuitive puzzles associated with the Copenhagen interpretation of quantum mechanics appear to have alternate, parallel explanations in terms of nonlinear dynamics and chaos. These include the…
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
Evidence is offered for log-periodic (in time) fluctuations in the S&P 500 stock index during the three years prior to the October 27, 1997 "correction". These fluctuations were expected on the basis of a discretely scale invariant rupture…
Motivated by the idea of developing a ``hydrodynamic'' description of spatiotemporal chaos, we have investigated the defect--defect correlation functions in the defect turbulence regime of the two--dimensional, anisotropic complex…
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of…
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously…
We find prominent similarities in the features of the time series for the (model earthquakes or) overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation…
We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to…
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related…
For the mass-critical generalized Korteweg-de Vries equation, $$ \partial_{t}u+\partial_{x}\left( \partial_{x}^{2}u+u^{5}\right)=0,\quad (t,x)\in [0,\infty)\times \mathbb{R}.$$ We prove the existence of a global solution that blows up in…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
We investigate the breakdown of disordered networks under the action of an increasing external---mechanical or electrical---force. We perform a mean-field analysis and estimate scaling exponents for the approach to the instability. By…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
We develop an alternative approach to this field, which was to a large extent developed by Verbeure et al. It is meant to complement their approach, which is largely based on a non-commutative central limit theorem and coordinate space…