Related papers: Financial heat machine
The Carnot heat engine sets an upper bound on the efficiency of a heat engine. As an ideal, reversible engine, a single cycle must be performed in infinite time, and so the Carnot engine has zero power. However, there is nothing in…
We want to understand whether and to which extent the maximal (Carnot) efficiency for heat engines can be reached at a finite power. To this end we generalize the Carnot cycle so that it is not restricted to slow processes. We show that for…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
Through experimental investigation into the behaviour of a polar dielectric working fluid, an ideal quasi-thermodynamic cycle has been established. Particular stages of this cycle are described in terms of a condensed-matter analogue of the…
The financial sector is increasingly concerned with the physical risks of climate change, but economic and financial impact representations are still developing, particularly for chronic risks. Mexico's Central Bank conducted a…
Fluctuations of thermodynamic quantities become non-negligible and play an important role when the system size is small. We develop finite-time thermodynamics of fluctuations in microscopic heat engines whose environmental temperature and…
Economic engineering is a new field wherein economic systems are modelled in the same manner as traditional mechanical and electrical engineering systems. In this paper, we use Newton's theory of motion as the basis for the theory of…
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 a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of…
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
It is possible to extract work from a quantum-mechanical system whose dynamics is governed by a time-dependent cyclic Hamiltonian. An energy bath is required to operate such a quantum engine in place of the heat bath used to run a…
The historical development of the Carnot cycle necessitated the construction of isothermal and adiabatic pathways within the cycle that were also mechanically "reversible" which lead eventually to the Kelvin-Clausius development of the…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szil\'ard information engine by {\em…
Present-day thermodynamics has long outgrown the initial frames of the heat-engine theory and transmuted into a rather general macroscopic method for studying kinetics of various transfer processes in their inseparable connection with the…
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…